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...