Regularities and Irregularities in Order Flow Data
| Autor: | Sebastian M. Krause, Thomas Guhr, Martin Theissen |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
FOS: Computer and information sciences
050208 finance Quantitative Finance - Trading and Market Microstructure Financial market 05 social sciences Flow (psychology) Machine Learning (stat.ML) Market microstructure Physik (inkl. Astronomie) Condensed Matter Physics 01 natural sciences Trading and Market Microstructure (q-fin.TR) Electronic Optical and Magnetic Materials FOS: Economics and business Order (exchange) Statistics - Machine Learning 0502 economics and business 0103 physical sciences Order book Econometrics Price level Limit (mathematics) 010306 general physics Biologie Mathematics |
| Popis: | We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place. 10 pages, 9 figures |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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