Bid-Ask Spreads in a Limit Order Market book
Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market.
A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. We enlarge this focus to include an examination of pricing behavior, using data on index futures trading in a pure electronic limit order book market. A theoretical link between order, trade, and cancellation arrival rates, and the distribution of bid-ask spreads is empirically implemented....
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Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market.
A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. We enlarge this focus to include an examination of pricing behavior, using data on index futures trading in a pure electronic limit order book market. A theoretical link between order, trade, and cancellation arrival rates, and the distribution of bid-ask spreads is empirically implemented....
click here for download
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