Order aggressiveness and order book dynamics

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

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

Harvard

Hall, AD & Hautsch, N 2006, 'Order aggressiveness and order book dynamics', Empirical Economics, vol. 30, no. 4, pp. 973-1005. https://doi.org/10.1007/s00181-005-0008-7

APA

Hall, A. D., & Hautsch, N. (2006). Order aggressiveness and order book dynamics. Empirical Economics, 30(4), 973-1005. https://doi.org/10.1007/s00181-005-0008-7

Vancouver

Hall AD, Hautsch N. Order aggressiveness and order book dynamics. Empirical Economics. 2006;30(4):973-1005. https://doi.org/10.1007/s00181-005-0008-7

Author

Hall, Anthony D. ; Hautsch, Nikolaus. / Order aggressiveness and order book dynamics. In: Empirical Economics. 2006 ; Vol. 30, No. 4. pp. 973-1005.

Bibtex

@article{5796f41089dd11dbbee902004c4f4f50,
title = "Order aggressiveness and order book dynamics",
abstract = "In this paper, we study the determinants of order aggressiveness and traders{\textquoteright} 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",
keywords = "Faculty of Social Sciences, open limit order book, multivariate intensity",
author = "Hall, {Anthony D.} and Nikolaus Hautsch",
note = "JEL Classification: G14, C32, C41",
year = "2006",
doi = "10.1007/s00181-005-0008-7",
language = "English",
volume = "30",
pages = "973--1005",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Springer",
number = "4",

}

RIS

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