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 pres...
| Autor: | |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | Colombia |
| Recursos: | Universidad Externado de Colombia |
| Repositorio: | Biblioteca Digital Universidad Externado de Colombia |
| Idioma: | español |
| OAI Identifier: | oai:bdigital.uexternado.edu.co:001/7430 |
| Acesso em linha: | https://bdigital.uexternado.edu.co/handle/001/7430 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 |
| Access Level: | acceso abierto |
| Palavra-chave: | Limit-Order Book USD/COP Statistical Properties. |
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Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market |
| 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 |
| dc.creator.none.fl_str_mv |
Sandoval, Javier |
| author |
Sandoval, Javier |
| author_facet |
Sandoval, Javier |
| author_role |
author |
| dc.subject.none.fl_str_mv |
Limit-Order Book USD/COP Statistical Properties. |
| topic |
Limit-Order Book USD/COP Statistical Properties. |
| 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. |
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2012 |
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2012-07-01 00:00:00 2012-07-01 00:00:00 2012-07-01 2022-09-08T13:38:29Z 2022-09-08T13:38:29Z |
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Artículo de revista http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/version/c_970fb48d4fbd8a85 Text info:eu-repo/semantics/article Journal article http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion |
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2346-2140 1794-1113 https://bdigital.uexternado.edu.co/handle/001/7430 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 |
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2346-2140 1794-1113 |
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https://bdigital.uexternado.edu.co/handle/001/7430 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696 |
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https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/3826 https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/4133 Núm. 7 , Año 2012 7 Odeon Andersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158. 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. 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. 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. 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. 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. Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74. 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. 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. |
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Facultad de Finanzas, Gobierno y Relaciones Internacionales |
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Empirical Shape Function of the Limit-Order Books of the USD/COP Spot MarketEmpirical Shape Function of the Limit-Order Books of the USD/COP Spot MarketSandoval, JavierLimit-Order BookUSD/COPStatistical Properties.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.Facultad de Finanzas, Gobierno y Relaciones Internacionales2012-07-01 00:00:002022-09-08T13:38:29Z2012-07-01 00:00:002022-09-08T13:38:29Z2012-07-01Artículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionapplication/pdftext/html2346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7430https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696reponame:Biblioteca Digital Universidad Externado de Colombiainstname:Universidad Externado de Colombiainstacron:Universidad Externado de Colombiaspahttps://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/3826https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/4133Núm. 7 , Año 20127OdeonAndersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158.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.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.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.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.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.Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74.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.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/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/2023-08-14T15:10:55Z |
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