Price Fluctuations from the Order Book Perspective - Empirical Facts and a Simple Model

@inproceedings{Maslov2001PriceFF,
  title={Price Fluctuations from the Order Book Perspective - Empirical Facts and a Simple Model},
  author={Sergei Maslov and Mark J. Mills},
  year={2001}
}
Statistical properties of an order book and the e*ect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+ market =2:4±0:1. The distribution of limit order (or quote) sizes was found to be consistent with a power law with an exponent close to 2. A somewhat better 7t to this distribution was obtained by using a log-normal distribution… CONTINUE READING
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