A Quantitative-Behavioural Approach to Modelling Stock Market's Microstructure

For instance, in Table 1 one observes three bid insertions between 10:30:08.35 and 10:30:12.56, where the best bid in this period was bid 7 at limit 97.53 due to the price-time priority rule of the Xetra system. The insertion of an ask at 10:30:12.56 led to a transaction price of 97.53 and full execution of order 7, 10 and 11. This is illustrated in Figure 1 which contains the information shown in Table 1 starting at 10:30:11.00 with best bid at 97.53 (order 7) and best ask at 97.56 (order 8). The white circle at 10:30:12.56 represents the two transactions described above (see Figure 1). Therefore, neglecting the entire order book means disregarding the fact that prices are generated by order matching, thus ignoring important information contained in the order activities (as shown in Table 1 and Figure 1). Furthermore, at Xetra a large part of the orders for DAX 30-stocks are cancelled (see [2, p. 31]). The magnitude of this cancellation rate depends