Asymmetric statistics of order books: the role of discreteness and evidence for strategic order placement.
We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the New York Stock Exchange (NYSE) order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a nonuniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a nontrivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets.
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Dipartimento di Fisica, Sapienza Università di Roma, 00185, Roma, Italy.
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