搜索结果: 1-2 共查到“理论经济学 Books”相关记录2条 . 查询时间(0.109 秒)
Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement
Asymmetric statistics of order books discreteness evidence strategic order placement
2010/11/1
We show that the statistics of spreads in real order books is character-ized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NY...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
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...