Empirical regularities of order placement in the Chinese stock market

顾高峰; 陈炜; 周炜星

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Empirical regularities of order placement in the Chinese stock market

首发时间：2007-12-07

Gao-Feng Gu ¹ Wei Chen Wei-Xing Zhou ¹

1、School of Business, East China University of Science and Technology

Abstract：Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

keywords： Econophysics Order placement Probability distribution Chinese stock market Order book and order flow

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Empirical regularities of order placement in the Chinese stock market

顾高峰 ¹ 陈炜 ² 周炜星 ¹

1、华东理工大学商学院
2、深圳证券交易所

摘要：Using ultra-high-frequency data extracted from the order flows of 23 stocks traded on the Shenzhen Stock Exchange, we study the empirical regularities of order placement in the opening call auction, cool period and continuous auction. The distributions of relative logarithmic prices against reference prices in the three time periods are qualitatively the same with quantitative discrepancies. The order placement behavior is asymmetric between buyers and sellers and between the inside-the-book orders and outside-the-book orders. In addition, the conditional distributions of relative prices in the continuous auction are independent of the bid-ask spread and volatility. These findings are crucial to build an empirical behavioral microscopic model based on order flows for Chinese stocks.

关键词： Econophysics; Order placement; Probability distribution; Chinese stock market; Order book and order flow

基金：

1. 自然科学基金,霍英东基金,上海市青年科技启明星计划,教育部新世纪优秀人才支持计划（,,,）

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Gao-Feng Gu,Wei Chen,Wei-Xing Zhou. Empirical regularities of order placement in the Chinese stock market[EB/OL]. Beijing:Sciencepaper Online[2007-12-07]. https://www.paper.edu.cn/releasepaper/content/200712-98.

No.1678512449611970****

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论文编号	200712-98
论文题目	Empirical regularities of order placement in the Chinese stock market
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