Abstract
One of the most challenging issue of Social Sciences is the identification of new empirical features in order to discriminate and validate the various models proposed. We now investigate the effects induced by the discrete nature of order books. In fact, as we have already noticed, the price of the orders is not a continuous variable but can only be a multiple of a quantity called tick which is a fraction of the currency used. A first consequence of this aspect is the spontaneous emergence of asymmetries in the system.
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Notes
- 1.
Market capitalization is defined as the number of shares of a company multiplied by their price. It is the simplest measure of a company’s size.
- 2.
London Stock Exchange.
References
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Cristelli, M. (2014). Evidences of Strategic Placements of Orders. In: Complexity in Financial Markets. Springer Theses. Springer, Cham. https://doi.org/10.1007/978-3-319-00723-6_7
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DOI: https://doi.org/10.1007/978-3-319-00723-6_7
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