Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange
AbstractThe symmetry of an electronic limit order book is studied using high-frequency data. Is the order flow generated by buyers of the same structure as the one by sellers or would factors such as short selling restrictions and information trading result in asymmetries in the order flow? A model expressing symmetry of a limit order book is developed and tested within a log.-linear Poisson regression framework. Although the orderflow was found to be quite symmetric in general, clear asymmetries were identified for various trade categories suggesting differences between the order submission of buyers and sellers using a limit order book.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 160.
Length: 23 pages
Date of creation: Feb 1997
Date of revision:
Publication status: Published in Journal of Empirical Finance, 1997, pages 279-293.
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Market microstructure; limit order book; log-linear Poisson regression; quasi symmetry;
Other versions of this item:
- Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 279-293, June.
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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