 Order aggressiveness and order book dynamicsAnthony Hall and Nikolaus Hautsch A chapter in High Frequency Financial Econometrics, 2008, pp 133-165 from Springer Abstract: In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a sixdimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects. Keywords: Open limit order book; Aggressive market orders; Aggressive limit orders and cancellations; Multivariate intensity (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:stecpp:978-3-7908-1992-2_7 Ordering information: This item can be ordered from DOI: 10.1007/978-3-7908-1992-2_7 Access Statistics for this chapter More chapters in Studies in Empirical Economics from Springer |
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