Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse
AbstractWe 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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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2000)
Issue (Month): 60 ()
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- 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.
- 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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