Commonalities in the order book

@inproceedings{BeltranLopez2009CommonalitiesIT,
  title={Commonalities in the order book},
  author={Helena M. Beltran-Lopez and Pierre Roland Giot and Joachim Grammig},
  year={2009}
}
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The result that bid and ask side as well as the visible and hidden parts of the order book exhibit quite specific dynamics is interpreted as… CONTINUE READING

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