The Price Impact of Order Book Events

@article{Cont2012ThePI,
  title={The Price Impact of Order Book Events},
  author={Rama Cont and Arseniy Kukanov and Sasha Stoikov},
  journal={Econometrics: Applied Econometrics \& Modeling eJournal},
  year={2012}
}
We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices. Our study reveals a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth. These results are shown to be… Expand
The Price Impact of Order Book Events from a Dimension of Time
  • W. Chi, Xuemei Zhao, Lufei Huang
  • Computer Science
  • Sci. Program.
  • 2021
TLDR
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References

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While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations areExpand
The Market Impact of a Limit Order
We quantify the short-run and long-run price effect of posting a limit order in an order book market by proposing a high-frequency cointegrated VAR model for quotes and order book depth. EstimatingExpand
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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 priceExpand
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We investigate present some new statistical properties of order books. We analyse data from the Nasdaq and investigate (a) the statistics of incoming limit order prices, (b) the shape of the averageExpand
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In this paper, I find that the imbalance between buy and sell orders explains most of the stock price changes. I then show that this effect is driven largely by uninformed price pressure, and notExpand
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The impact of large trades on market prices is a widely discussed but rarely measured phenomenon, of essential importance to selland buy-side participants. We analyse a large data set from theExpand
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We investigate how the dynamics of supply and demand affect the relationship between aggregated order flow and returns/market impact. We classify order flow according to the different event typesExpand
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