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An Analysis Of Order Submissions On The Xetra Trading System
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An analysis of order submissions on the Xetra trading system
using multivariate time series of counts∗
Joachim Grammig†
Andr´eas Heinen‡
Erick Rengifo§
March 2003
JEL Classification codes: C32, C35, G10.
Keywords: Market...
[Mehr]
An analysis of order submissions on the Xetra trading system
using multivariate time series of counts∗
Joachim Grammig†
Andr´eas Heinen‡
Erick Rengifo§
March 2003
JEL Classification codes: C32, C35, G10.
Keywords: Market microstructure; Asymmetric Information, Liquidity; Multivariate
count model.
Abstract
Using an innovative empirical methodology we analyze trading activity and liquidity
supply in an open limit order book market and test a variety of hypotheses put forth
by market microstructure theory.
We study how the state of the limit order book, i.
e.
liquidity supply, as well as price volatility and limit order cancelations impact on future
trading activity and identify those factors which explain liquidity supply.
∗
The authors would like to thank Luc Bauwens and Helena Beltran for helpful discussions and suggestions.
We also wish to thank Helena Beltran for sharing her computer code, which was of great help for our
computations.
The usual disclaimers apply.
†
Eberhard Ka
[Weniger]
Schlagworte
activity,
beltran,
book,
cancelations,
heinen,
limit,
liquidity,
louvain,
market,
microstructure,
model,
multivariate,
order,
research,
supply,
trading,
university
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