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Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse

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  • Christophe BISIÈRE
  • Thierry KAMIONKA

Abstract

We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between two consecutive orders and the relative aggressiveness of the orders, depending upon the past ordes and the state of the book. Our results offer evidence of information and liquidity effects, as put forward by market microstructure theories.

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File URL: http://www.jstor.org/stable/20076255
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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2000)
Issue (Month): 60 ()
Pages: 43-72

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Handle: RePEc:adr:anecst:y:2000:i:60:p:03

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Cited by:
  1. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper 06-03, Center of Finance and Econometrics, University of Konstanz.
  2. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," CoFE Discussion Paper 99-03, Center of Finance and Econometrics, University of Konstanz.
  3. Tsai, Shih-Chuan, 2013. "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 932-951.
  4. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 33(1), pages 27-43.
  5. Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).

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