Commonalities in the order book

Beltran Helena, Pierre Giot and Joachim Grammig ()

No 2005014, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

Abstract: Recent contributions to microstructure theory hint a 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 the price-depth pairs. The results also indicate that a heterogeneous trader population is active on the buy and sell sides. The respective latent factors explaining the by 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.

Keywords: limit order book; commonalities; liquidity; market microstructure (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Pages: 42
Date: 2005-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Commonalities in the order book (2009)
Working Paper: Commonalities in the order book (2009)
Working Paper: Commonalities in the order book (2009)
Working Paper: Commonalities in the order book (2005)
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