Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions.
Guardado en:
1794-1113
2346-2140
2012-07-01
info:eu-repo/semantics/openAccess
http://purl.org/coar/access_right/c_abf2
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Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74. Brooks, C.; Hinich, M. J. and Patterson, D. M.(2003). Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University. Challet, D. and Stinchcombe, R. (2001). Analyzing and Modelling 1+1d Markets. Quantitative Finance Papers cond-mat/0106114, arXiv.org. Dorogovtsev, S.; Mendes, J. and Oliveira, J. (2006). Frequency of Occurrence of Numbers in the World Wide Web. Physica A: Statistical Mechanics and its Applications, 360(2):548 - 556. Eisler, Z.; Kertesz, J. and Lillo, F. (2007). The Limit Order Book on Different Time Scales. Quantitative Finance Papers 0705.4023, arXiv.org. Farmer, J. D.; Gillemot, L.; Lillo, F.; Mike, S. and Sen, A.(2003). What Really CausesLarge Price Changes? Quantitative Finance Papers condmat/0312703, arXiv.org. Gideon, S. (2001). Limit Orders and Volatility in a Hybrid Market: The Island Ecn. Working paper fin-01-025, NYU. Gu, G.-F.; Chen, W. and Zhou, W.-X. (2008). Empirical Shape Function of Limit-Order Books in the Chinese Stock Market. Physica, (387):5182- 5188. Kiymaz, H. and Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics,12(4):363-380. Maslov, S. and Mills, M. (2001). Price Fluctuations from the Order Book Perspective -Empirical Facts and a Simple Model. Quantitative Finance Papers cond-mat/0102518,arXiv.org. Tian, G. and Guo, M.(2007). Interday and Intraday Volatility: Additional Evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3):287-306. Biais, B.; Hillion, P. and Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. Journal of Finance, 50(5):1655-89. Weber, P. and Rosenow, B. (2004). Large Stock Price Changes: Volume or Liquidity? Weber, P. and Rosenow, B. (2005). Order Book Approach to Price Impact. Quant. Finance,(5):357-364. info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Bouchaud, J.-P.; Mezard, M. and Potters, M. (2002). Statistical Properties of Stock Order Books: Empirical Results and Models. Science & Finance (cfm) working paper archive 0203511, Science & Finance, Capital Fund Management. Bouchaud, J.-P.; Farmer, J. D. and Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Quantitative Finance Papers 0809.0822, arXiv.org. Andersen, T. G. and Bollerslev, T. (1998). Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53(1):219-265. text/html The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions. Sandoval, Javier Limit-Order Book USD/COP Statistical Properties. 7 Artículo de revista application/pdf Publication Universidad Externado de Colombia ODEON https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 Español https://creativecommons.org/licenses/by-nc-sa/4.0/ Andersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158. Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market Journal article 2012-07-01T00:00:00Z 2012-07-01T00:00:00Z https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/3826 https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/4133 1794-1113 2346-2140 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 2012-07-01 |
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UNIVERSIDAD EXTERNADO DE COLOMBIA |
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https://nuevo.metarevistas.org/UNIVERSIDADEXTERNADODECOLOMBIA/logo.png |
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Colombia |
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Revista ODEON |
| title |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| spellingShingle |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market Sandoval, Javier Limit-Order Book USD/COP Statistical Properties. |
| title_short |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| title_full |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| title_fullStr |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| title_full_unstemmed |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| title_sort |
empirical shape function of the limit-order books of the usd/cop spot market |
| title_eng |
Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| description |
The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions.
|
| author |
Sandoval, Javier |
| author_facet |
Sandoval, Javier |
| topicspa_str_mv |
Limit-Order Book USD/COP Statistical Properties. |
| topic |
Limit-Order Book USD/COP Statistical Properties. |
| topic_facet |
Limit-Order Book USD/COP Statistical Properties. |
| citationissue |
7 |
| publisher |
Universidad Externado de Colombia |
| ispartofjournal |
ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 |
| language |
Español |
| format |
Article |
| rights |
info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 https://creativecommons.org/licenses/by-nc-sa/4.0/ |
| references |
Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74. Brooks, C.; Hinich, M. J. and Patterson, D. M.(2003). Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University. Challet, D. and Stinchcombe, R. (2001). Analyzing and Modelling 1+1d Markets. Quantitative Finance Papers cond-mat/0106114, arXiv.org. Dorogovtsev, S.; Mendes, J. and Oliveira, J. (2006). Frequency of Occurrence of Numbers in the World Wide Web. Physica A: Statistical Mechanics and its Applications, 360(2):548 - 556. Eisler, Z.; Kertesz, J. and Lillo, F. (2007). The Limit Order Book on Different Time Scales. Quantitative Finance Papers 0705.4023, arXiv.org. Farmer, J. D.; Gillemot, L.; Lillo, F.; Mike, S. and Sen, A.(2003). What Really CausesLarge Price Changes? Quantitative Finance Papers condmat/0312703, arXiv.org. Gideon, S. (2001). Limit Orders and Volatility in a Hybrid Market: The Island Ecn. Working paper fin-01-025, NYU. Gu, G.-F.; Chen, W. and Zhou, W.-X. (2008). Empirical Shape Function of Limit-Order Books in the Chinese Stock Market. Physica, (387):5182- 5188. Kiymaz, H. and Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics,12(4):363-380. Maslov, S. and Mills, M. (2001). Price Fluctuations from the Order Book Perspective -Empirical Facts and a Simple Model. Quantitative Finance Papers cond-mat/0102518,arXiv.org. Tian, G. and Guo, M.(2007). Interday and Intraday Volatility: Additional Evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3):287-306. Biais, B.; Hillion, P. and Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. Journal of Finance, 50(5):1655-89. Weber, P. and Rosenow, B. (2004). Large Stock Price Changes: Volume or Liquidity? Weber, P. and Rosenow, B. (2005). Order Book Approach to Price Impact. Quant. Finance,(5):357-364. Bouchaud, J.-P.; Mezard, M. and Potters, M. (2002). Statistical Properties of Stock Order Books: Empirical Results and Models. Science & Finance (cfm) working paper archive 0203511, Science & Finance, Capital Fund Management. Bouchaud, J.-P.; Farmer, J. D. and Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Quantitative Finance Papers 0809.0822, arXiv.org. Andersen, T. G. and Bollerslev, T. (1998). Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53(1):219-265. Andersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158. |
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https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 |
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1794-1113 |
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2346-2140 |
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