Maslov, Sergei; Mills, Mark - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 234-246
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+μmarket=2.4±0.1. The...
