Berlin 2015 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 8: Poster

SOE 8.11: Poster

Monday, March 16, 2015, 18:00–20:00, Poster E

Impact of Meta Orders on Continuous Double Auction Order Book Dynamics with Inhomogeneous Placement and Cancellation Rates — •Hannes Blut, Winfried Sebastian Reimann, and Stephan Eule — Max-Planck-Institut für Dynamik und Selbstorganisation, Am Faßberg 17, D-37077 Göttingen, Deutschland

Most modern financial markets nowadays employ limit order books to manage the priority of unexecuted limit orders. Analyses of large amounts of historical order book data in continuous double auction markets have discovered the dynamics to be influenced by a number of observables: (i) Structural properties such as imbalance of orders and gap size; (ii) order flow statistics, e.g. limit order placement and cancellation rates; (iii) price determining quantities including spread size, and price jump distributions. Especially the third group of observables is recognized for its essential role in execution strategies and risk estimation. On the basis of such analyses, models for the microscopic dynamics of order books have been developed and tested by means of simulation. Here, existing models are extended. The modified models aim to include inhomogeneous order placement and cancellation rates, which have been detected in data analyses. Furthermore, long-term correlations in order signs are applied to account for meta orders.