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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26510
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| Title: | What pieces of limit order book information do are informative? An
empirical analysis of a pure order-driven market |
| Authors: | Pascual, Roberto
Veredas, David |
| Keywords: | Limit order book
order aggressiveness
durations
order-driven markets |
| Issue Date: | Dec-2003 |
| Series/Report no.: | FIN-04-003 |
| Abstract: | This paper studies the importance of different pieces of limit order
book information in characterizing order aggressiveness and the timing
of trades, order submissions and cancellations. Using limit order book
information on liquid and frequently traded Spanish stock, we evidence
that most of the explanatory power of the book concentrates on the best
quotes. However, the book beyond the best quotes also matters in
explaining the aggressiveness of traders. Liquidity providers benefit
more from an increased degree of pre-trade transparency than liquidity
consumers. Finally, no piece of book information matters in explaining
the timing of orders. |
| URI: | http://hdl.handle.net/2451/26510 |
| Appears in Collections: | Finance Working Papers
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