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논문검색

STATISTICAL PROPERTIES OF ORDER BOOKS IN THE KOSPI200 FUTURES MARKET

원문정보

Seung Oh Han, ChongSeok Hyun, Hyeng Keun Koo

한국재무학회 한국재무학회 학술대회 2012년 5개 학회 공동학술연구발표회 2012.05 pp.1373-1380
피인용수 : 0건 (자료제공 : 네이버학술정보)

초록

영어

This study examines the statistical properties of the order-driven market from KOSPI(Korean Stock Price Index) 200 futures. We nd 1) the characteristics of limit order places around the best prices and 2) the shape of the average and instantaneous limit order book. The ndings are consistent with previous results for stock market in the US and the UK. However, we suggest the rst estimation of the exponent of Power-law distribution in KOSPI 200 futures market.

목차

Abstract
 1 Introduction
 2 The Dataset
 3 Empirical Results
  3.1 Power-law
  3.2 Shape of Order Book
 4 Conclusion
 References

저자정보

  • Seung Oh Han Graduate Department of Financial Engineering, Ajou University
  • ChongSeok Hyun Graduate Department of Financial Engineering, Ajou University
  • Hyeng Keun Koo Graduate Department of Financial Engineering, Ajou University

참고문헌

자료제공 : 네이버학술정보

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