Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/109452
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Type: | Journal article |
Title: | Universal behaviour in the stock market: time dynamics of the electronic orderbook |
Author: | Kızılersü, A. Kreer, M. Thomas, A. Feindt, M. |
Citation: | Physics Letters A: General Physics, Nonlinear Science, Statistical Physics, Atomic, Molecular and Cluster Physics, Plasma and Fluid Physics, Condensed Matter, Cross-disciplinary Physics, Biological Physics, Nanosciences, Quantum Physics, 2016; 380(33):2501-2512 |
Publisher: | Elsevier |
Issue Date: | 2016 |
ISSN: | 0375-9601 1873-2429 |
Statement of Responsibility: | Ayşe Kızılersü, Markus Kreer, Anthony W.Thomas, Michael Feindt |
Abstract: | A consequence of the digital revolution is that share trading at the stock exchange takes place via electronic order books which are accessed by traders and investors via the internet. Our empirical findings of the London Stock Exchange demonstrate that once ultra-high frequency manipulation on time scales less than around ten milliseconds is excluded, all relevant changes in the order book happen with time differences that are randomly distributed and well described by a left-truncated Weibull distribution with universal shape parameter (independent of time and same for all stocks). The universal shape parameter corresponds to maximum entropy of the distribution. |
Keywords: | Econophysics; stock market analysis; statistical test; financial physics; orderbook dynamics; stochastic time analysis |
Rights: | ©2016 Elsevier B.V. All rights reserved. |
DOI: | 10.1016/j.physleta.2016.05.035 |
Published version: | http://dx.doi.org/10.1016/j.physleta.2016.05.035 |
Appears in Collections: | Aurora harvest 8 Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.