Skip navigation

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.
Appears in Collections:Finance Working Papers

Files in This Item:
File Description SizeFormat 
FIN-04-003.pdf473.31 kBAdobe PDFView/Open

Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.