2023/04/04 by Navarro, Roberto Mota, Leyvraz, Francois, Larralde, Hernán
#FOS: Economics and business #Statistical Finance (q-fin.ST)
paper · doi:10.48550/arxiv.2304.01907
The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather than the dynamical aspects. The present work is a study of the dynamical properties of volume. Unlike previous works, we studied the volume available at the spread rather than the volume of incoming orders or of realized transactions. We found evidence that suggests mean reverting volume changes and strong asymmetries in the equilibrium of sell and buy orders as well as the presence of clustering.