文献类型：期刊文献

英文题名：Stylized facts of price gaps in limit order books

作者：Gu, Gao-Feng[1,2];Xiong, Xiong[3,4];Zhang, Yong-Jie[3,4];Chen, Wei[5];Zhang, Wei[3,4];Zhou, Wei-Xing[1,2,6]

机构：[1]E China Univ Sci & Technol, Sch Business, 130 Meilong Rd,POB 114, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[4]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China;[5]Shenzhen Stock Exchange, 5045 Shennan East Rd, Shenzhen 518010, Peoples R China;[6]E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2016

卷号：88

起止页码：48

外文期刊名：CHAOS SOLITONS & FRACTALS

收录：;EI(收录号：20162202448515);WOS:【SSCI(收录号:WOS:000377731100006)，SCI-EXPANDED(收录号:WOS:000377731100006)】；

基金：This work was partly supported by National Natural Science Foundation of China (71101052, 71131007, 71532009), Shanghai Rising Star (Follow-up) Program (11QH1400800), Program for Changjiang Scholars and Innovative Research Team in University (IRT1028), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Price gap; Limit order book; Liquidity; Stylized facts; Buy-sell asymmetry

摘要：Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the properties of price gaps have not been thoroughly studied due to the less availability of ultrahigh frequency data. In the paper, we rebuild the LOB dynamics based on the order flow data of 26 A-share stocks traded on the Shenzhen Stock Exchange in 2003. Three key empirical statistical properties of price gaps are investigated. We find that the distribution of price gaps has a power-law tail for all stocks with an average tail exponent close to 3.2. Applying modern statistical methods, we confirm that the gap time series are long-range correlated and possess multifractal nature. These three features appear to be different in the measures across stocks, but they are similar for the buy and sell LOBs within each stock. Furthermore, we also unveil buy-sell asymmetry phenomena in the properties of price gaps on the buy and sell sides of the LOBs for individual stocks. These findings deepen our understanding of the dynamics of liquidity of common stocks and can be used to calibrate agent-based computational financial models. (C) 2015 Elsevier Ltd. All rights reserved.