Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market

Katarzyna Bień-Barkowska

Emerging Markets Finance and Trade, 2014, vol. 50, issue 1, 93-117

Abstract: In this paper, I examine order submissions and cancellations in the Reuters Dealing 3000 Spot Matching System, the main order-driven market for interbank trading of the euro/złoty (EUR/PLN) currency pair. I generalize the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) with respect to more than two competing risks. With the new multistate AACD model, I examine the timing of different order submissions and cancellations that take place on different sides of the market and vary according to their level of aggressiveness. I investigate different liquidity or information-oriented factors that exert an influence on the dynamics of the limit order book.

Keywords: ACD models; currency markets; market microstructure; order book dynamics (search for similar items in EconPapers)
Date: 2014
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