Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market

The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section pres...

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Autores:: Sandoval, Javier

Tipo de recurso:: Article of journal

Fecha de publicación:: 2012

Institución:: Universidad Externado de Colombia

Repositorio:: Biblioteca Digital Universidad Externado de Colombia

Idioma:: spa

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dc.title.spa.fl_str_mv	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
dc.title.translated.eng.fl_str_mv	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
title	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
spellingShingle	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market Limit-Order Book USD/COP Statistical Properties.
title_short	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
title_full	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
title_fullStr	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
title_full_unstemmed	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
title_sort	Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market
dc.creator.fl_str_mv	Sandoval, Javier
dc.contributor.author.spa.fl_str_mv	Sandoval, Javier
dc.subject.spa.fl_str_mv	Limit-Order Book USD/COP Statistical Properties.
topic	Limit-Order Book USD/COP Statistical Properties.
description	The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions.
publishDate	2012
dc.date.accessioned.none.fl_str_mv	2012-07-01 00:00:00 2022-09-08T13:38:29Z
dc.date.available.none.fl_str_mv	2012-07-01 00:00:00 2022-09-08T13:38:29Z
dc.date.issued.none.fl_str_mv	2012-07-01
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dc.identifier.issn.none.fl_str_mv	1794-1113
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dc.identifier.url.none.fl_str_mv	https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696
identifier_str_mv	2346-2140 1794-1113
url	https://bdigital.uexternado.edu.co/handle/001/7430 https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696
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dc.relation.citationedition.spa.fl_str_mv	Núm. 7 , Año 2012
dc.relation.citationissue.spa.fl_str_mv	7
dc.relation.ispartofjournal.spa.fl_str_mv	Odeon
dc.relation.references.spa.fl_str_mv	Andersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158. Andersen, T. G. and Bollerslev, T. (1998). Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53(1):219-265. Biais, B.; Hillion, P. and Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. Journal of Finance, 50(5):1655-89. Bouchaud, J.-P.; Farmer, J. D. and Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Quantitative Finance Papers 0809.0822, arXiv.org. Bouchaud, J.-P.; Mezard, M. and Potters, M. (2002). Statistical Properties of Stock Order Books: Empirical Results and Models. Science & Finance (cfm) working paper archive 0203511, Science & Finance, Capital Fund Management. Brooks, C.; Hinich, M. J. and Patterson, D. M.(2003). Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University. Challet, D. and Stinchcombe, R. (2001). Analyzing and Modelling 1+1d Markets. Quantitative Finance Papers cond-mat/0106114, arXiv.org. Dorogovtsev, S.; Mendes, J. and Oliveira, J. (2006). Frequency of Occurrence of Numbers in the World Wide Web. Physica A: Statistical Mechanics and its Applications, 360(2):548 - 556. Eisler, Z.; Kertesz, J. and Lillo, F. (2007). The Limit Order Book on Different Time Scales. Quantitative Finance Papers 0705.4023, arXiv.org. Farmer, J. D.; Gillemot, L.; Lillo, F.; Mike, S. and Sen, A.(2003). What Really CausesLarge Price Changes? Quantitative Finance Papers condmat/0312703, arXiv.org. Gideon, S. (2001). Limit Orders and Volatility in a Hybrid Market: The Island Ecn. Working paper fin-01-025, NYU. Gu, G.-F.; Chen, W. and Zhou, W.-X. (2008). Empirical Shape Function of Limit-Order Books in the Chinese Stock Market. Physica, (387):5182- 5188. Kiymaz, H. and Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics,12(4):363-380. Maslov, S. and Mills, M. (2001). Price Fluctuations from the Order Book Perspective -Empirical Facts and a Simple Model. Quantitative Finance Papers cond-mat/0102518,arXiv.org. Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74. Tian, G. and Guo, M.(2007). Interday and Intraday Volatility: Additional Evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3):287-306. Weber, P. and Rosenow, B. (2004). Large Stock Price Changes: Volume or Liquidity? Weber, P. and Rosenow, B. (2005). Order Book Approach to Price Impact. Quant. Finance,(5):357-364.
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spelling	Sandoval, Javier42d89a8d-3f7e-4434-81e0-a85fe83cdd1b2012-07-01 00:00:002022-09-08T13:38:29Z2012-07-01 00:00:002022-09-08T13:38:29Z2012-07-01The following work aims to study the empirical properties of the limit-order books (LOB) of the USD/COP spot market. The article is organized as follows: The first section introduces important concepts and definitions. The second section characterizes limit-order book markets. The third section presents the dataset. The fourth and fifth sections depict the statistical properties of the limit-order book. The last section presents relevant conclusions.application/pdftext/html2346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7430https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/3826https://revistas.uexternado.edu.co/index.php/odeon/article/download/3696/4133Núm. 7 , Año 20127OdeonAndersen, T. G. and Bollerslev, T. (1997). Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, 4(23):115-158.Andersen, T. G. and Bollerslev, T. (1998). Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53(1):219-265.Biais, B.; Hillion, P. and Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. Journal of Finance, 50(5):1655-89.Bouchaud, J.-P.; Farmer, J. D. and Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Quantitative Finance Papers 0809.0822, arXiv.org.Bouchaud, J.-P.; Mezard, M. and Potters, M. (2002). Statistical Properties of Stock Order Books: Empirical Results and Models. Science & Finance (cfm) working paper archive 0203511, Science & Finance, Capital Fund Management.Brooks, C.; Hinich, M. J. and Patterson, D. M.(2003). Intra-day Patterns in the Returns, Bid-ask Spreads, and Trading Volume of Stocks Traded on the New York Stock Exchange. ICMA Centre Discussion Papers in Finance icma-dp2003-14, Henley Business School, Reading University.Challet, D. and Stinchcombe, R. (2001). Analyzing and Modelling 1+1d Markets. Quantitative Finance Papers cond-mat/0106114, arXiv.org.Dorogovtsev, S.; Mendes, J. and Oliveira, J. (2006). Frequency of Occurrence of Numbers in the World Wide Web. Physica A: Statistical Mechanics and its Applications, 360(2):548 - 556.Eisler, Z.; Kertesz, J. and Lillo, F. (2007). The Limit Order Book on Different Time Scales. Quantitative Finance Papers 0705.4023, arXiv.org.Farmer, J. D.; Gillemot, L.; Lillo, F.; Mike, S. and Sen, A.(2003). What Really CausesLarge Price Changes? Quantitative Finance Papers condmat/0312703, arXiv.org.Gideon, S. (2001). Limit Orders and Volatility in a Hybrid Market: The Island Ecn. Working paper fin-01-025, NYU.Gu, G.-F.; Chen, W. and Zhou, W.-X. (2008). Empirical Shape Function of Limit-Order Books in the Chinese Stock Market. Physica, (387):5182- 5188.Kiymaz, H. and Berument, H. (2003). The Day of the Week Effect on Stock Market Volatility and Volume: International Evidence. Review of Financial Economics,12(4):363-380.Maslov, S. and Mills, M. (2001). Price Fluctuations from the Order Book Perspective -Empirical Facts and a Simple Model. Quantitative Finance Papers cond-mat/0102518,arXiv.org.Ranaldo, A. (2004). Order Aggressiveness in Limit Order Book Markets. Journal of Financial Markets, 7(1):53-74.Tian, G. and Guo, M.(2007). Interday and Intraday Volatility: Additional Evidence from the Shanghai Stock Exchange. Review of Quantitative Finance and Accounting, 28(3):287-306.Weber, P. and Rosenow, B. (2004). Large Stock Price Changes: Volume or Liquidity?Weber, P. and Rosenow, B. (2005). Order Book Approach to Price Impact. Quant. Finance,(5):357-364.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/3696Limit-Order BookUSD/COPStatistical Properties.Empirical Shape Function of the Limit-Order Books of the USD/COP Spot MarketEmpirical Shape Function of the Limit-Order Books of the USD/COP Spot MarketArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2570https://bdigital.uexternado.edu.co/bitstreams/d284cc22-c5b1-4bae-885e-95d8a9fd2e7c/downloaded2e9f66cc10cb5bc378a9cbf04558eaMD51001/7430oai:bdigital.uexternado.edu.co:001/74302023-08-14 15:10:55.16https://creativecommons.org/licenses/by-nc-sa/4.0/https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org

Empirical Shape Function of the Limit-Order Books of the USD/COP Spot Market

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