MARKET IMPACT AND ORDER BOOK CHARACTERISTICS IN THE KOREAN FUTURES MARKET

DOI10.1142/S0129183111016889zbMath1258.91225OpenAlexW2041226476MaRDI QIDQ4911503

Jung-Hoon Lee, Janghyuk Youn, Woojin Chang

Publication date: 15 March 2013

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0129183111016889

zbMATH Keywords

futuresmarket impactorder book

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Cites Work

• More statistical properties of order books and price impact
• Do supply and demand drive stock prices?
• Analyzing and modeling 1+1d markets
• Price fluctuations from the order book perspective - empirical facts and a simple model

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