Price fluctuations from the order book perspective - Empirical facts and a simple model

Keyphrases

• Price Fluctuation 100%
• Order Book 100%
• Limit Orders 66%
• Power Law 33%
• Statistical Properties 33%
• Law 33%
• Effective Power 33%
• Power-law Exponent 33%
• Lognormal Distribution 33%
• Nonlinear Function 33%
• Price Dynamics 33%
• Price Impact 33%
• Large Markets 33%
• NASDAQ 33%
• Market Order 33%
• Price Change 33%
• Power-law Tail 33%
• Transaction Size 33%

Mathematics

• Simple Model 100%
• Power Law 100%
• Statistical Property 33%
• Lognormal Distribution 33%
• Nonlinear Function 33%

Economics, Econometrics and Finance

• Price 100%