We discuss the use of order book as a source of information and show step by step the procedure of its reconstruction for the case of Istanbul Stock Exchange. We then propose many new variables derived from the order book potentially prolific for future research. We also put forward an original...

We suggest a two-step approach in detecting HFT activity from order and trade data. While the first step focuses on multiple actions of an order submitter in low latency, the second searches for the surroundings of these orders to link related orders. On a sample of 2015 data from Borsa...

We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness onone side affects the aggressiveness on both sides of...

This paper provides an exhaustive review and categorization of market liquidity measures that are used to quantify liquidity in empirical research. We review and discuss these measures in a comparative manner in terms of market, data features, computational ease, predictiveness, and...