Max Planck Institute for Dynamics and Self-Organization -- Department for Nonlinear Dynamics and Network Dynamics Group
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Statistical Properties of Order Books

In recent years there have been considerable efforts to employ methods from theoretical physics to problems in economics. Our group is interested in the dynamics of the order book, which can be seen as the ultimate microscopic level of description of financial markets. It has attracted a lot of attention both from an empirical as well as theoretical point of view. The dynamics of the orders book is governed i.) by  limit orders, which state a limit price, corresponding to worst allowable price for the transaction; ii.) by cancelations of limit orders; iii.) by market orders, which are requests to buy or sell a given number of shares immediately at the best available price. The efforts of our group focus on the implementation ‘realistic’ placement and cancelation rates, which we determine from empirical observations. Furthermore, we are interested in the correlations between incoming orders and subsequent price changes, i. e. the price impact of orders.


Contact:  Stephan Eule 

Members working within this Project:

 Stephan Eule 

Former Members:

 Hannes Blut