Order Aggressiveness in Limit Order Book Markets
Journal
Journal of Financial Markets
ISSN
1386-4181
Type
journal article
Date Issued
2004-01
Author(s)
Abstract
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.
Language
English
Keywords
Limit order book
Limit orders
Microstructure
Order aggressiveness
Probit model
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Elsevier
Volume
7
Number
1
Start page
53
End page
74
Pages
22
Subject(s)
Division(s)
Eprints ID
217795