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Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange

  • Hedvall, Kaj
  • Niemeyer, Jonas
  • Rosenqvist, Gunnar

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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File URL: http://www.sciencedirect.com/science/article/B6VFG-3SX0D5B-9/2/54d1e35b2e4e543f4bb8ae4606dd4536
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 4 (1997)
Issue (Month): 2-3 (June)
Pages: 279-293

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Handle: RePEc:eee:empfin:v:4:y:1997:i:2-3:p:279-293
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Vijh, Anand M, 1990. " Liquidity of the CBOE Equity Options," Journal of Finance, American Finance Association, vol. 45(4), pages 1157-79, September.
  2. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September.
  3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-89, December.
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