Limit Order Flow, Market Impact and Optimal Order Sizes : Evidence from NASDAQ TotalView-ITCH Data

@inproceedings{Hautsch2011LimitOF,
  title={Limit Order Flow, Market Impact and Optimal Order Sizes : Evidence from NASDAQ TotalView-ITCH Data},
  author={Nikolaus Hautsch and R Huang},
  year={2011}
}
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost immediately after submission if not getting executed. Moreover, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of impulse-response functions… CONTINUE READING

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