Hedvall, Kaj () (Department of Finance) Niemeyer, Jonas () (Department of Financial Stability) Rosenqvist, Gunnar (Department of Statistics and Computer Science)
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The 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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Length: 23 pages Date of creation: Feb 1997 Date of revision: Publication status: Published in Journal of Empirical Finance, 1997, pages 279-293. Handle: RePEc:hhs:hastef:0160
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Find related papers by JEL classification: C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models 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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