Challet, Damien; Stinchcombe, Robin - In: Physica A: Statistical Mechanics and its Applications 300 (2001) 1, pp. 285-299
We report on a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position....