재무연구 제 권 호 (2012년 5월)
Asian Review of Financial Research, Vol., No..
pp.1373~1380
pp.1373~1380
STATISTICAL PROPERTIES OF ORDER BOOKS IN THE KOSPI200 FUTURES MARKET
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
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.
Seung Oh Han
ChongSeok Hyun
Hyeng Keun Koo
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.
