DPG Phi
Verhandlungen
Verhandlungen
DPG

Berlin 2008 – scientific programme

Parts | Days | Selection | Search | Downloads | Help

AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 3: Financial Markets and Risk Management I

AKSOE 3.2: Talk

Monday, February 25, 2008, 10:45–11:15, EW 203

Studies of the limit order book around large price changes — •Bence Toth1,2, Janos Kertesz2, and J. Doyne Farmer31Complex Systems Lagrange Lab, ISI Foundation, Torino, Italy — 2Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary — 3Santa Fe Institute, Santa Fe, USA

Most of the financial markets today are governed by a continuous double auction mechanism, with a limit order book containing the orders placed to buy or sell a stock. We study the dynamics of this limit order book of liquid stocks on the London Stock Exchange (LSE) after experiencing a large intra-day price change. Previous studies of Trade and Quote data[1] revealed interesting results about the volume, volatility and bid-ask spread for these periods. The analysis of the order book at the level of single orders gives insight to the the "microscopic" dynamics of price formation, especially to the role of liquidity thus it enhances our understanding of market risk.

[1] A.G. Zawadowski, G. Andor and J. Kertész, Quantitative Finance 6, 283-295 (2006)

100% | Mobile Layout | Deutsche Version | Contact/Imprint/Privacy
DPG-Physik > DPG-Verhandlungen > 2008 > Berlin