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Persistent link: https://www.econbiz.de/10004346507
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for order-driven market on the...
Persistent link: https://www.econbiz.de/10011098911
Dans ce papier, nous analysons les stratégies suivies par les investisseurs de grande taille, et en particulier celles utilisées par les donneurs d’ordres à quantité cachée, sur le marché parisien. A l’aide de données qui permettent de reconstituer le carnet d’ordres dans son...
Persistent link: https://www.econbiz.de/10011073600
. We further analyse the impact of more information and more reliable information on the trader’s ex ante expected welfare … from the trade. We show that his expected welfare always increases with more information and with more reliable information … welfare is ambiguous. …
Persistent link: https://www.econbiz.de/10011249321
Persistent link: https://www.econbiz.de/10002493304
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...
Persistent link: https://www.econbiz.de/10010821294
Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in...
Persistent link: https://www.econbiz.de/10010906571
Persistent link: https://www.econbiz.de/10005048625
Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open … variation exhibit specific dynamics. When we exploit results from microstructure theory to empirically assess whether the …
Persistent link: https://www.econbiz.de/10005008367
This paper evaluates the informational content of an open limit order book by studying its role in explaining long run volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic state-space co-integration model for ask and bid...
Persistent link: https://www.econbiz.de/10005008656