Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice

  title={Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice},
  author={Marcela Valenzuela and Ilknur Zer},
  journal={ERN: Information Asymmetry Models (Topic)},
We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes. Moreover, it dominates the signaling… 

Calculating the probability of a mid-price increase based on a stochastic model for order book dynamics / von Sabrina Kuhrn

A stochastic model is illustrated, investigated and implemented by using parameters estimated by the data of 30 stocks of the Istanbul Stock Exchange, and the probability of a mid-price increase conditional on the current order book status is computed and compared to the outcomes received from the stock data.

Essays on financial economics

This thesis consists of five chapters. The first chapter previews the analysis of the following three chapters. In the second chapter, my co-author and I provide new empirical evidence that the

Pre-trade Transparency and the Information Content of the Limit Order Book

This chapter investigates the influence of improved pre-trade transparency on the information content of the limit order book. Data from two natural experiments are examined: when the Sydney Futures

Relative Liquidity and Future Volatility

The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure,

Institutional Information Manipulation and Individual Investors’ Disadvantages: A New Explanation for Momentum Reversal on the Chinese Stock Market

ABSTRACT In this study, empirical evidence is presented to explain the momentum reversal phenomenon in the Chinese stock market in terms of the manipulation of institutional information. On the



An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the

A Dynamic Model of the Limit Order Book

This paper presents a model of an order-driven market where fully strategic, symmetrically informed liquidity traders dynamically choose between limit and market orders, trading off execution price


Using order book information from the Australian Stock Exchange (ASX), we examine whether (and to what extent) the order book affects investors' order placement strategies. We find that the top of

Order Submission Strategies and Information: Empirical Evidence from the NYSE

This work investigates the role of asymmetric information in affecting order submission strategies and finds that the most important determinants are the depth on the same side of the book and a momentum indicator.

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a

Price Dynamics in Limit Order Markets

This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the state of the limit order book. Each trader knows that

Order aggressiveness and order book dynamics

In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most

Order aggressiveness in limit order book markets