کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1859441 | 1037325 | 2016 | 12 صفحه PDF | دانلود رایگان |
• After the ultra-high frequency manipulation is excluded, all the time differences in the EOB described by a left-truncated Weibull distribution.
• The Weibull shape parameter is universal i.e. independent of time and same for all stocks and it is equal to Euler–Mascheroni constant.
• The universal shape parameter corresponds to maximum entropy of the distribution.
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.
Journal: Physics Letters A - Volume 380, Issue 33, 29 July 2016, Pages 2501–2512