Time-variation of imbalance of order book in foreign exchange market

Author

Sueshige, Takumi and Kanazawa, Kiyoshi and Takayasu, Hideki and Takayasu, Misako

Abstract

The time-variation of the limit order book is studied in terms of the imbalance of the bid and ask sides for foreign exchange markets. We first introduce a set of variables quantifying the imbalance between the bid and ask orders, and study the probability distribution of the imbalance to show its time-variation. We also suggest an approximate Gaussian fit for the imbalance distributions for cross-sectional views. This result implies the localization tendency of the order book imbalance around the Gaussian peak.