Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Kaj Hedvall (), Jonas Niemeyer and Gunnar Rosenqvist
Additional contact information
Kaj Hedvall: Department of Finance, Postal: Swedish School of Economics and Business Administration, P.O. Box 479, FIN-00101 Helsinki, FINLAND

No 160, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The symmetry of an electronic limit order book is studied using high-frequency data. Is the order flow generated by buyers of the same structure as the one by sellers or would factors such as short selling restrictions and information trading result in asymmetries in the order flow? A model expressing symmetry of a limit order book is developed and tested within a log.-linear Poisson regression framework. Although the orderflow was found to be quite symmetric in general, clear asymmetries were identified for various trade categories suggesting differences between the order submission of buyers and sellers using a limit order book.

Keywords: Market microstructure; limit order book; log-linear Poisson regression; quasi symmetry (search for similar items in EconPapers)
JEL-codes: C25 G14 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1997-02
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Citations: View citations in EconPapers (21)

Published in Journal of Empirical Finance, 1997, pages 279-293.

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Journal Article: Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0160

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