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Empirical properties of volume dynamics in the limit order book

Author

Listed:
  • Navarro, Roberto Mota
  • Leyvraz, Francois
  • Larralde, Hernán

Abstract

The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. The majority of studies have focused on the sizes of incoming orders or of realized transactions, the present work is a study of dynamical aspects of volume available at the best ask and best bid. The interest in these volumes stems from their capacity to limit or otherwise affect possible trades in the near future Using limit order book data from the Bitcoin/USDT market we study, among other things, the behavior of the distribution of volume changes as a function of the time scale at which the changes are measured, the autocorrelations of volume changes at each side of the book and the autocorrelations of volume imbalances between asks and bids. We find that several of these properties can be well approximated by power laws.

Suggested Citation

  • Navarro, Roberto Mota & Leyvraz, Francois & Larralde, Hernán, 2025. "Empirical properties of volume dynamics in the limit order book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 658(C).
    • Handle: RePEc:eee:phsmap:v:658:y:2025:i:c:s037843712400743x
    DOI: 10.1016/j.physa.2024.130234
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    More about this item

    Keywords

    Limit order book; Volume dynamics; Autocorrelations; Stylized facts; Bitcoin;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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