Gu, Gao-Feng; Chen, Wei; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5182-5188
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for...