Order aggressiveness and order book dynamics
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Order aggressiveness and order book dynamics. / Hall, Anthony D.; Hautsch, Nikolaus.
In: Empirical Economics, Vol. 30, No. 4, 2006, p. 973-1005.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Order aggressiveness and order book dynamics
AU - Hall, Anthony D.
AU - Hautsch, Nikolaus
N1 - JEL Classification: G14, C32, C41
PY - 2006
Y1 - 2006
N2 - In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects
AB - In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects
KW - Faculty of Social Sciences
KW - open limit order book
KW - multivariate intensity
U2 - 10.1007/s00181-005-0008-7
DO - 10.1007/s00181-005-0008-7
M3 - Journal article
VL - 30
SP - 973
EP - 1005
JO - Empirical Economics
JF - Empirical Economics
SN - 0377-7332
IS - 4
ER -
ID: 313932