I examine the information content of a limit order book in a purely order-driven market. I analyze how the state of the limit order book affects a trader's strategy. I develop an econometric technique to study order aggressiveness and provide empirical evidence on the recent theoretical models...

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...

This paper investigates the determinants of the order aggressiveness of institutional and individual investors on the Australian Stock Exchange. Utilizing a proprietary data set that identifies institutional and individual order submissions, we document that the institutional and individual...

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...

This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

We investigate the effect of broker anonymity on the information content of the limit order book on the Australian Stock Exchange. We argue that the move to anonymity has stronger impact on institutional than individual investors. We document that anonymity increases the informativeness of...

This study analyzes the information content of the limit order book in a pure order-driven market. The objective is twofold. First, we analyze how the state of the limit order book affects the trader strategies. Second, we develop a new econometric technique to study order aggressiveness and...

We investigate the effect of broker anonymity on the information content of the limit order book on the Australian Stock Exchange. We argue that the move to anonymity has stronger impact on institutional than individual investors. We document that anonymity increases the informativeness of...

We investigate the effect of the removal of broker identities on institutional and individual order submissions on the Australian Stock Exchange (ASX). We document declines in order aggressiveness and effective spreads for both institutional and individual investors after the switch to the...

The article is about learning from aviation risk management to corporate risk management. Aviation risk management plays a vital role in providing safety to air passengers. The paper studies the key areas of development in the aviation industry, such as systematic thinking processes, the role of...