股票市场跌停价与委托书的相关性
Correlation of coming limit price with order book in stock markets
摘要：
当限价订单出现时，我们检查限价与订单簿的相关性。我们分析了伦敦证券交易所的集中指令簿市场--证券交易所电子交易服务的重建指令簿。因此，根据幂律，限价广泛分布在最佳价格周围，并且它不是从分布中随机抽取的，而是与价格上累积未执行限价订单的大小有很强的相关性。研究还发现，在粗粒度的价格尺度上，限价价格倾向于聚集在具有大量累积未执行限价订单的价格周围。
英文摘要：
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it isn't randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
