Decomposing liquidity along the limit order book

David Rakowski () and Xiaoxin Wang Beardsley

Journal of Banking & Finance, 2008, vol. 32, issue 8, 1687-1698

Abstract: In this paper, we estimate the asymmetric information and order processing components of liquidity at extended depths along the limit order book. Using data from the INET ECN, we find that the asymmetric information component decreases as depth increases. Inactive stocks have more information asymmetry at the inside quotes, but it decreases more rapidly along the book than for active stocks. The order processing component of liquidity has fixed and variable constituents, consistent with a fixed cost per order as well as a variable portion based on the size of the order.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(07)00390-1
Full text for ScienceDirect subscribers only

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:eee:jbfina:v:32:y:2008:i:8:p:1687-1698

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().