Analysis of Limit Order Book and Order Flow
نویسندگان
چکیده
منابع مشابه
Information droughts on the limit order book
This paper studies a financial exchange in which liquidity may “dry up” endogenously. The drought is generated on a model of a limit order book under conditions of asymmetric information and an evolving fundamental. The book exhibits an equilibrium spread that is in steady state when it balances the rate that traders acquire information with the rate at which their stock of information decays. ...
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Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on market quality. Increasing the number of Limit Order Book levels from 3 to 5 levels, in May 2017, for online traders in Tehran Stock Exchange, ga...
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As macroeconomic fundamentals based modelling of FX timeseries have been shown not to fit the empirical evidence at horizons of less than one year, interest has moved towards microstructure-based approaches. Order flow data has recently been receiving an increasing amount of attention in equity market analyses and thus increasingly in foreign exchange as well. In this paper, order flow data is ...
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Foucault [Journal of Financial Markets, 2, 99–134, 1999] provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE‐listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.569982