Fig. 5
From: An empirical behavioral order-driven model with price limit rules
Determination of the order cancellation process. a Probability density functions f(X) of relative price levels on the LOB for both canceled buy and sell orders of stock 000001. The solid lines are fits to the rescaled log-normally distribution. b Probability density functions f(Y) of relative temporal positions at all price levels for both canceled buy and sell orders of the same stock. The solid line is the fit to an exponential function