Emilio - thank you for posting the paper; it is a very interesting read.

Before i unpack this pdf , wondering if applicable to futures. I think paper is equity centric which i think is multi exchange and different queue logic.....

Emilio, the research is very interesting. Distributions and time activity of the limit orders have a relationship to the transaction waiting times and sizes of futures time & sales data - ticks. Being connected via a chain of discrete prices and forming this chain, the sizes and prices require discrete distributions but waiting times expose specific dependence between sample excess kurtosis and skewness. Accordingly, Riemann Zeta, Hurwitz Zeta, Zipf-Mandelbrot, and Kumaraswamy distributions were applied in 2013 https://arxiv.org/pdf/1312.2004.pdf and 2017 https://arxiv.org/pdf/1704.01179.pdf to simulate some of these quantities and relationships. The discreteness of your data depicted on Figures 6, 14 reminded me the discreteness on Figure 18 of https://arxiv.org/pdf/1312.2004.pdf and Figure 24 of https://arxiv.org/pdf/1704.01179.pdf: the horizontal lines of dots in log-plots. Again, thank you for attracting attention to your results. Best Regards, Valerii

This 'important yet little explored subject of the market impact of limit orders' seems in fact to have been already explored ....

R Cont, A Kukanov, S Stoikov (2014) The price impact of order book events, Journal of Financial Econometrics Vol 12, No 1, 47-88.

https://www.ssrn.com/abstract=1712822

https://academic.oup.com/jfec/article-abstract/12/1/47/816163

Z. Eisler, J.-P. Bouchaud, and J. Kockelkoren (2012), The price impact of order

book events: market orders, limit orders and cancellations, Quantitative Finance

http://www.tandfonline.com/doi/abs/10.1080/14697688.2010.528444

Dear Rama, the author has the right to expose the links. Only as a complement and for an easier access by the LinkedIn members, I am adding the earlier arXiv links https://arxiv.org/pdf/0904.0900.pdf, https://arxiv.org/pdf/1011.6402.pdf, https://arxiv.org/pdf/1104.4596.pdf. Obviously to me, all three are remarkable. In general, I believe that study of the order book is at the beginning. The state of the book is affected by an external human beings and robots. It generates the matched events and ticks. Those affect the human beings and robots: "the sneak bytes its tail". This "non-uniform" pulsing cycle is injected by fuel - capital. The injections and function of the cycle become rather complex. While "speculation is as old as the world" its forms change every time returning an investigation to the beginning. It is interesting how this cycle-system, market, can fool the majority of participants. But without this it seems cannot operate - live. Best Regards, Valerii

These orders and their dangers were questioned years ago especially the domino effect and how co location showed them as Stops . The MKT been aware for years and done nothing !

Response to Rama CONT 's comment (just below):

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This 'important yet little explored subject of the market impact of limit orders' seems in fact to have been already explored....

R Cont, A Kukanov, S Stoikov (2014) The price impact of order book events, Journal of Financial Econometrics Vol 12, No 1, 47-88.

https://papers.ssrn.com/=abstract=1712822

https://academic.oup.com/jfec/article-abstract/12/1/47/816163

Z.Eisler,J.-P.Bouchaud,and J.Kockelkoren (2012), The price impact of order book events: market orders, limit orders and cancellations, Quantitative Finance

https://www.tandfonline.com/doi/abs/10.1080/14697688.2010.528444

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Dear Rama ,

Thank you for your comment. Indeed the two papers cited are interesting and well known in the literature. We encourage everyone to read all these papers hoping that they will find interest. Our paper is essentially focused on the impact caused by the execution of metaorders on all of the main European venues and contains two years of data. We study the effect of execution strategies using aggressive and passive limit orders and provide the results of an empirical study for this purpose. This allows us with some comfort to think that our results have a real statistical sense. Besides several other studies cited in our paper have found similar results. Throughout the paper we compare our results with the predictions of the agent based model of Farmer.

I do not see the link between the approach of our paper and those you cite. Do not hesitate to bring to my knowledge when it is question of market impact under constraint of execution in these two papers? If that's the case, We will be very happy to cite them in our study.

Thanks again for reading carefully the article.

Kind Regards.