Volatility and the role of order book structure

Ralf Becker () and Adam Clements
Additional contact information
Ralf Becker: University Manchester

No 64, NCER Working Paper Series from National Centre for Econometric Research

Abstract: There is much literature that deals with modeling and forecasting asset return volatility. However, much of this research does not attempt to explain variations in the level of volatility. Movements in volatility are often linked to trading volume or frequency, as a reflection of underlying information flow. This paper considers whether the state of an open limit order book influences volatility. It is found that market depth and order imbalance do influence volatility, even in the presence of the traditional volume related variables.

Keywords: Realized volatility; bi-power variation; limit order book; market microstructure; order imbalance (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2010-10-19
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.ncer.edu.au/papers/documents/WPNo64.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2010_11

Access Statistics for this paper

More papers in NCER Working Paper Series from National Centre for Econometric Research Contact information at EDIRC.
Bibliographic data for series maintained by School of Economics and Finance ( this e-mail address is bad, please contact ).