Empirical shape function of limitorder books in the Chinese stock market

Empiricalshapefunctionoflimit-orderbooksintheChinesestockmarket，顾高峰，陈炜，Wehaveanalyzedthestatisticalprobabilitiesoflimit-orderbook(LOB)shapethroughbuildingthebookusingtheultra-high-frequencydatafrom23liquidstockstradedontheShe