Empirical anaylsis of liquidity provision of an order driven market

William Cheung

doi:10.1109/CIFEr.2013.6611691

Empirical anaylsis of liquidity provision of an order driven market

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

This paper studies how liquidity evolves in a limit order market. By considering the determinants and consequences of the limit and market orders submission, we find that the tradeoff between limit orders and market orders depends on liquidity supply, proxy by the limit order size and the bid-ask spread. We find that increase in limit orders attract market orders, which increase the liquidity demand. Spread only has a significant negative effect on the market orders. Order size only has significant negative effect on the limit orders.

Original language	English
Title of host publication	Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013
Pages	14-18
Number of pages	5
DOIs	https://doi.org/10.1109/CIFEr.2013.6611691
Publication status	Published - 2013 Oct 28
Externally published	Yes
Event	2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013 - Singapore, Singapore Duration: 2013 Apr 16 → 2013 Apr 19

Publication series

Name	Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013

Other

Other	2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013
Country	Singapore
City	Singapore
Period	13/4/16 → 13/4/19

Keywords

Bid-Ask Spread
Limit Order Book
Order Size
Order flow

ASJC Scopus subject areas

Artificial Intelligence
Economics, Econometrics and Finance (miscellaneous)

Access to Document

10.1109/CIFEr.2013.6611691

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Cite this

Cheung, W. (2013). Empirical anaylsis of liquidity provision of an order driven market. In Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013 (pp. 14-18). [6611691] (Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013). https://doi.org/10.1109/CIFEr.2013.6611691

Empirical anaylsis of liquidity provision of an order driven market. / Cheung, William.

Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013. 2013. p. 14-18 6611691 (Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Cheung, W 2013, Empirical anaylsis of liquidity provision of an order driven market. in Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013., 6611691, Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013, pp. 14-18, 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013, Singapore, Singapore, 13/4/16. https://doi.org/10.1109/CIFEr.2013.6611691

Cheung W. Empirical anaylsis of liquidity provision of an order driven market. In Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013. 2013. p. 14-18. 6611691. (Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013). https://doi.org/10.1109/CIFEr.2013.6611691

Cheung, William. / Empirical anaylsis of liquidity provision of an order driven market. Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013. 2013. pp. 14-18 (Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013).

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