Order Submission Strategies and Information: Empirical Evidence from the NYSE

Alessandro Beber () and Cecilia Caglio

FAME Research Paper Series from International Center for Financial Asset Management and Engineering

Abstract: We investigate the role of asymmetric information in affecting order submission strategies. Order aggressiveness depends on the state of the order book and on the asset dynamics. We find that the most important determinants are the depth on the same side of the book and a momentum indicator. When we focus on specific situations characterized by higher probability of information-based trading, we find that orders are less aggressive, suggesting strategic behavior of informed traders. This conjecture is supported by a different response to changes in the investor's information set and by a stronger price impact of less aggressive orders.

Keywords: Order Aggressiveness; Informed Trading; Order Flow (search for similar items in EconPapers)
JEL-codes: C35 G14 (search for similar items in EconPapers)
Date: 2005-06
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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