We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the average order book, and (c) the typical life time of a limit order as a function of the distance from the best price. We also determine the ‘price impact’ function using French and British stocks, and find ...

Abstract This study aims to contribute the existing business strategy and environment literature by exploring how biodiversity disclosure affects financial performance of firms. The employs content analysis a sample 100 Fortune Global companies for 3 years, after developing comprehensive index measure quality disclosure. Then normality, correlation, multiple linear regression model its estimati...

This study tried to determine firm-specific variables that affect the price-to-earnings ratios of listed tourism companies at Borsa Istanbul in Turkey over period 2012q3 - 2020q3. For this purpose, quarterly financial data were analyzed by using Generalized Moments Method (GMM). As a result analysis, it was determined positive relationship existed between Tobin’s Q ratio and ratio, whereas nega...

this paper examines the accuracy of valuation models in providing reasonable estimation of the market values of listed companies in tehran stock exchange (tse). six valuation models including gordon growth model, two stage dividend discount model, adjusted present value, price to earning ratio and residual income were examined in this study. in addition, three proxies represent the market value...

This paper studies the role of strategy and the order book market mechanism in price dynamics and the order flow behaviour. To this end we analyse a zero-intelligence agent model of a dynamic limit order market. Stylised facts of limit order markets are shown to be influenced and, in some cases, governed by the market mechanism rather than strategic interaction. Positive correlation in order ty...

A mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that the evolution of the order book is governed by a matrix multiplicative process. The resulting stationary distribution of step-to-step price changes is calculated. It e...

Motivated by Cont and Larrard (2013)’s seminal Limit Order Book (LOB) model, we propose two continuous-time models for the level I of a LOB in which the arrivals of limit orders, market orders, and cancellations are assumed to be mutually independent, memoryless, and stationary, but, unlike the aforementioned paper, the proposed models also account for some of the sparsity and memory exhibited ...

This paper studies the excess returns on stocks, associated to various company fundamentals on a panel of US stocks from 1979 to 2008. The returns premia are measured using a random coefficient panel data model on the individual stock level. We show that the HML and SMB factors in the Fama and French model probably have no particular economic meaning as sources of systematic risk other than bei...

Recent empirical analyses have shown that liquidity fluctuations are important for understanding large price changes of financial assets. These liquidity fluctuations are quantified by gaps in the order book, corresponding to blocks of adjacent price levels containing no quotes. Here we study the statistical properties of the state of the limit order book for 16 stocks traded at the London Stoc...