Order Book Dynamics of Fine Wine Exchange

Marcin Czupryna, Michał Jakubczyk and Paweł Oleksy

Journal of Wine Economics, 2020, vol. 15, issue 4, 403-411

Abstract: In this paper, we explore the order book dynamics on the Liv-ex fine wine exchange. More specifically, by using the order book data, we examine new buy and sell order submissions and cancellations and various factors that may have an effect on the intensity of the trade process on both sides of the market. Our findings indicate the existence of significant relationships between the expected number of bids, offers, or order withdrawals and wine producers, contract type, bottle format, case size, weekday, and age. In particular, the wine age positively affects the buy and sell order submissions, but only up to a certain point, after which the number of orders starts to decrease. (JEL Classifications: D40, G12, G14, L66)

Date: 2020
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