Cao, Charles; Hansch, Oliver; Wang, Xiaoxin - In: Journal of Financial Research 31 (2008) 2, pp. 113-140
Using order book information from the Australian Stock Exchange (ASX), we examine whether (and to what extent) the order book affects investors' order placement strategies. We find that the top of the book always affects order submissions, cancellations, and amendments, and the rest of the book...