摘要翻译：
本文利用深圳证券交易所2003年23只流通股的超高频数据，通过构建限价盘账簿(LOB)形状的统计概率，分析了LOB形状的统计概率。我们发现，对于买进和卖出的LOB来说，平均LOB形状都有一个最大值，远离相同的最佳价格。LOB形状函数在右侧尾部具有良好的指数形式。尽管书上有更多的卖出订单，但对于接近相同最佳价格水平的买进LOB被发现异常地厚。我们还发现，买卖双方的LOB形状函数都具有周期为5的周期峰值。固定滴答水平的1min平均体积服从对数正态分布，但左尾呈幂律分布，且具有较长的记忆性。本文还简要讨论了我们的实证结果的学术意义。
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英文标题：
《Empirical shape function of limit-order books in the Chinese stock
  market》
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作者：
Gao-Feng Gu (ECUST), Wei Chen (SZSE), Wei-Xing Zhou (ECUST)
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Physics        物理学
二级分类：Data Analysis, Statistics and Probability        数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB shape has a maximum away from the same best price for both buy and sell LOBs. The LOB shape function has nice exponential form in the right tail. The buy LOB is found to be abnormally thicker for the price levels close to the same best although there are much more sell orders on the book. We also find that the LOB shape functions for both buy and sell sides have periodic peaks with a period of five. The 1-min averaged volumes at fixed tick level follow lognormal distributions, except for the left tails which display power-law behaviors, and exhibit long memory. Academic implications of our empirical results are also discussed briefly.
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PDF链接：
https://arxiv.org/pdf/0801.3712