Commonalities in the order book

Beltran-Lopez, Helena M.; Giot, Pierre; Grammig, Joachim

doi:10.1007/s11408-009-0109-y

Cited by 18 publications

(5 citation statements)

References 32 publications

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“…Beltran‐Lopez et al . () identify commonalities in the order book by analysing the structure of the order book using principal component analysis. Kempf and Mayston () also analyse commonality in the limit order book and find that commonality gets stronger the deeper one looks into the book.…”

Section: Introductionmentioning

confidence: 99%

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Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

Gomber¹,

Schweickert

Theissen

2013

Euro Fin Management

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. Terms of use: Documents inWe present descriptive statistics, analyze the cross-sectional determinants of the XLM measure and document its intraday pattern. Our main contribution is an analysis of the dynamics of the XLM measure around liquidity shocks. We use intraday event study methodology to analyze how a shock affects the XLM measure. We consider two sets of liquidity shocks, large transactions (which are endogenous events because they originate in the market) and Bloomberg ticker news items (which are exogenous events because they originate outside of the market). We find that resiliency after large transactions is high, i.e., liquidity quickly reverts to "normal" levels. We further document that large trades take place at times when liquidity is unusually high. We interpret this as evidence that large transactions are timed. The Bloomberg ticker news items do not have a discernible effect on liquidity.JEL classification: G 10

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Section: Introductionmentioning

confidence: 99%

“…Despite the high correlation between the quoted spread and the XLM measure, it has been documented in previous research that the liquidity beyond the best quotes has additional information content (e.g. Beltran‐Lopez et al ., ; Cao et al ., ).…”

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confidence: 99%

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

Gomber¹,

Schweickert

Theissen

2013

Euro Fin Management

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“…Similarly, using data from NYSE's Trades, Orders, Reports, and Quotes, Kaniel and Liu (2006) argue that informed traders prefer limit orders to market orders and limit orders are therefore more informative than market orders. More recently, Beltran-Lopez, Giot, and Grammig (2009) also demonstrate that factors extracted from the limit order book have non-negligible information relevant to the long-run evolution of prices in the German Stock Exchange. Specifically, they find that shifts and rotations of the order book can explain between 5% to 10% of the long-run evolution of prices, depending on the liquidity of the asset.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric effects of the limit order book on price dynamics

Cenesizoglu

Dionne

Zhou

2022

Journal of Empirical Finance

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We analyze whether the information in different parts of the limit order book affect prices differently. We distinguish between slopes of lower and higher levels of the bid and ask sides and include these four slope measures as well as midquote return and trade direction in a vector autoregressive model. Slope measures of the same side based on different levels affect both short-and long-run price dynamics quite differently, in line with the predictions based on recent theoretical models such as Foucault, Kadan, and Kandel (2005) and Rosu (2009). In a high frequency day trading exercise, we show that ignoring these asymmetries costs a trader approximately 25 basis points in daily profits, suggesting that the asymmetries are important not only statistically but also economically. Our statistical results are robust to using alternative definitions of slope measures and sample periods while our economic results are robust to trading under alternative assumptions such as trading slower speeds.

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“…Recent studies related to ex-ante liquidity include Irvine et al (2000), Coppejans et al (2004), Domowitz et al (2005), Giot and Grammig (2006), Beltran-Lopez et al (2009), and Beltran-Lopez et al (2011). According to Aitken and Comerton-Forde (2003), ex-post liquidity measures involve trade-based measures, while ex-ante liquidity measures are order-based.…”

Section: Introductionmentioning

confidence: 99%

The Dynamics of Ex-Ante High-Frequency Liquidity: An Empirical Analysis

Dionne

2016

SSRN Journal

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Using tick-by-tick data and the reconstructed open LOB data from the Xetra trading system, we investigate the impact of trade duration, quote duration and other exogenous variables on ex-ante liquidity embedded in an open LOB. Our modeling involves decomposing the joint distribution of the ex-ante liquidity measure into simple and interpretable distributions. The decomposed factors are Activity, Direction and Size. Our results suggest that trade durations and quote durations do influence the exante liquidity changes. Short-run variables, such as spread change and volume, also predict the probability of liquidity changes.

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Commonalities in the order book

Abstract: Limit order book, Commonalities, Liquidity, Market microstructure, G10, C32,

Cited by 18 publications

References 32 publications

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach

Asymmetric effects of the limit order book on price dynamics

The Dynamics of Ex-Ante High-Frequency Liquidity: An Empirical Analysis

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