Article ID Journal Published Year Pages File Type
5102743 Physica A: Statistical Mechanics and its Applications 2017 11 Pages PDF
Abstract
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and the order size. We find that the order imbalance distributions of individual stocks have power-law tails. However, the tail index fluctuates remarkably from stock to stock. We also investigate the distributions of aggregated order imbalance of all stocks at different timescales Δt. We find no clear trend in the tail index with respect Δt. All the analyses suggest that the distributions of order imbalance are asymmetric.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
, , , , , ,