Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse

Christophe Bisière and Thierry Kamionka

Annals of Economics and Statistics, 2000, issue 60, 43-72

Abstract: We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between two consecutive orders and the relative aggressiveness of the orders, depending upon the past ordes and the state of the book. Our results offer evidence of information and liquidity effects, as put forward by market microstructure theories.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2000:i:60:p:43-72

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