Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange
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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|Date of creation:||Feb 1997|
|Publication status:||Published in Journal of Empirical Finance, 1997, pages 279-293.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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