We investigate the information content of the limit order book (LOB) on the Tokyo Stock Exchange, the world's second largest order-driven exchange1. Microstructure parameters, such as the current cost-to-trade 1% of average daily volume and order book slope, consistently and significantly...

We investigate the information content of the limit order book (LOB) on the Tokyo Stock Exchange, the world's second largest order-driven market. We find that high frequency microstructure parameters, such as the current cost-to-trade 1% of average daily volume and LOB slope, contain information...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...