Commonalities in the order book
(2005)
Files
2005-14.pdf
Open Access - Adobe PDF
- 744.17 KB
Details
- Authors
- Abstract
- Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open limit order book. In this paper we provide empirical evidence that indeed a small number of latent factors, two for each side of the book, capture most of the variation in the price-depth pairs. The results also indicate that a heterogenous trader population is active on the buy and sell sides. The respective latent factors explaining the buy and sell side variation exhibit specific dynamics. When we exploit results from microstructure theory to empirically assess whether the majority of the book variation is due to either informational effects or non-informational fluctuations of liquidity we obtain mixed results.
- Affiliations
Citations
Beltran, H., Giot, P., & Grammig, J. (2005). Commonalities in the order book (ECON Discussion Papers 2005/14). https://hdl.handle.net/2078.5/40334