Blazejewski, Adam; Coggins, Richard - In: Physica A: Statistical Mechanics and its Applications 348 (2005) C, pp. 481-495
We investigate a regularity in market order submission strategies for 12 stocks with large market capitalization on the Australian Stock Exchange. The regularity is evidenced by a predictable relationship between the trade sign (trade initiator), size of the trade, and the contents of the limit...