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Order Aggressiveness in Limit Order Book Markets

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Kurzfassung 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 on limit order book markets. My results show that patient traders become more aggressive when the own (opposite) side book is thicker (thinner), the spread wider, and the temporary volatility increases. Also, I find that the buy and the sell sides of the book affect the order submission differently.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags) Limit order book; Limit orders; Microstructure; Order aggressiveness; Probit model
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 1-2004
Zeitschrift Journal of Financial Markets
Verlag Elsevier
ISSN 1386-4181
Jahrgang bzw. Volume 7
Nummer bzw. Issue 1
Seite(n) 53-74
Review Double-Blind Review
   
Zitation Ranaldo, Angelo: Order Aggressiveness in Limit Order Book Markets. In: Journal of Financial Markets 7 (2004), Nr. 1, S. 53-74.