Analysis of limit order book and order flow
This paper extensively employs the order and trade data to analyze the shape of limit order book and the behavior of strategic order submission. The order book of stocks exhibits weakly convex pattern on the bid side due to wide price spreads away from the market. This characteristic of liquidity is...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/735 https://ink.library.smu.edu.sg/context/lkcsb_research/article/1734/viewcontent/SSRN_id488422.pdf |
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| Institution: | Singapore Management University |
| Language: | English |