While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different...

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value fi (or volume) has a finite variance σi for the very large majority of stocks i, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a...

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We...

We analyse the temporal changes in the cross-correlations of returns on the New York Stock Exchange. We show that lead–lag relationships between daily returns of stocks vanished in less than 20 years. We have found that even for high-frequency data the asymmetry of time-dependent...

The Epps effect, the decrease of correlations between stock returns for short time windows, was traced back to the trading asynchronicity and to the occasional lead-lag relation between the prices. We study pairs of stocks where the latter is negligible and confirm the importance of...

We argue that on electronic markets, limit and market orders should have equal effective costs on average. This symmetry implies a linear relation between the bid-ask spread and the average impact of market orders. Our empirical observations on different markets are consistent with this...

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the present study is the remarkable agreement between the...

The paper contains a phenomenological description of the whole US forward rate curve (FRC), based on data in the period 1990-1996. It is found that the average deviation of the FRC from the spot rate grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate...

Stock prices are observed to be random walks in time despite a strong, long-term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long-ranged fluctuations in liquidity, with an otherwise permanent market...