Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement (Articolo in rivista)

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Label
  • Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement (Articolo in rivista) (literal)
Anno
  • 2010-01-01T00:00:00+01:00 (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#doi
  • 10.1103/PhysRevE.81.066101 (literal)
Alternative label
  • A. Zaccaria (1,2); M. Cristelli (1,2); V. Alfi (1,3); F. Ciulla(1); L. Pietronero (1,2) (2010)
    Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
    in Physical review. E, Statistical, nonlinear, and soft matter physics (Print)
    (literal)
Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
  • A. Zaccaria (1,2); M. Cristelli (1,2); V. Alfi (1,3); F. Ciulla(1); L. Pietronero (1,2) (literal)
Pagina inizio
  • 066101 (literal)
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  • http://pre.aps.org/abstract/PRE/v81/i6/e066101 (literal)
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  • 81 (literal)
Rivista
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  • American Physical Society. (literal)
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  • 8 (literal)
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  • 6 (literal)
Note
  • ISI Web of Science (WOS) (literal)
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  • (1) Dipartimento di Fisica, Sapienza Università di Roma, P. le A. Moro 2, 00185, Roma, Italy (2) Istituto dei Sistemi Complessi, CNR, Via dei Taurini 19, 00185 Rome, Italy (3) Centro Studi e Ricerche E. Fermi, Compendio del Viminale, 00184, Roma, Italy (literal)
Titolo
  • Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement (literal)
Abstract
  • We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a non-trivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets. (literal)
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