The Next Tick on Nasdaq: Does Level II Information Matter?

Bruce Mizrach

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual market makers and electronic networks and find evidence of strategic behavior. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.

Keywords: Nasdaq; Level II; microstructure; tick (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2002-05-07
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Citations: View citations in EconPapers (1)

Published in Quantitative Finance 8, 2008, 19-40.

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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:200202

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