Abstract
The Nasdaq stock market provides information about buying and selling interest in its limit order book. Using a vector autoregressive model of trades and returns, I assess the effect of the entire order book on the next tick. I also determine the influence of individual market makers and electronic networks and find evidence that the identity of market participants can be useful information. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 19-40 |
| Number of pages | 22 |
| Journal | Quantitative Finance |
| Volume | 8 |
| Issue number | 1 |
| DOIs | |
| State | Published - Feb 2008 |
All Science Journal Classification (ASJC) codes
- Finance
- Economics, Econometrics and Finance(all)
Keywords
- Derivatives securities
- Financial time series
- Market microstructure
- Structure of financial markets