We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only market orders are taken into account. One model posits that...

While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different...

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market...

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored, allowing us to separate each signal into a component...

Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently introduced by Menezes and Barabasi. It is based on the...

Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq 1$ when a parameter $A$ (usually the system size) is...

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the...

Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the Lux model and refine the underlying phenomenological...

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all...

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value...