Order book, order flow and returns: evidence from the Brazilian stock exchange

Authors

  • Michel Alexandre Banco Central do Brasil,
  • Fernando Fagundes Ferreira Escola de Artes, Ciências e Humanidades Universidade de São Paulo
  • Camilo Rodrigues Neto Escola de Artes, Ciências e Humanidades Universidade de São Paulo http://orcid.org/0000-0001-6783-6695

DOI:

https://doi.org/10.23925/2446-9513.2018v5i1p24-38

Keywords:

Order book, Econophysics, Stock market

Abstract

The purpose of this study is to analyze the stylized facts of the order book of stocks traded in the São Paulo Stock Exchange (BOVESPA), as well as of the returns engendered by the order book dynamics. We used data from June 2006 to January 2009 regarding a sample composed by the twenty most traded stocks in BOVESPA. The empirical results corroborated some stylized facts observed in stocks of other countries, but refuted others.

 

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Published

2018-08-10

How to Cite

Alexandre, M., Ferreira, F. F., & Rodrigues Neto, C. (2018). Order book, order flow and returns: evidence from the Brazilian stock exchange. Redeca, Revista Eletrônica Do Departamento De Ciências Contábeis &Amp; Departamento De Atuária E Métodos Quantitativos, 5(1), 24–38. https://doi.org/10.23925/2446-9513.2018v5i1p24-38

Issue

Vol. 5 No. 1 (2018)

Section

Artigos