The next tick on Nasdaq

Bruce Mizrach ()

Quantitative Finance, 2008, vol. 8, issue 1, pages 19-40

Abstract: The Nasdaq stock market provides information about buying and selling interest in its limit order book. Using a vector autoregressive model of trades and returns, I assess the effect of the entire order book on the next tick. I also determine the influence of individual market makers and electronic networks and find evidence that the identity of market participants can be useful information. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.

Keywords: Market microstructure; Financial time series; Structure of financial markets; Derivatives securities (search for similar items in EconPapers)

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