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 | |
| Publication status | Published - 2013 |
| 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 |
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 |
Fingerprint
Keywords
- Bid-Ask Spread
- Limit Order Book
- Order flow
- Order Size
ASJC Scopus subject areas
- Artificial Intelligence
- Economics, Econometrics and Finance (miscellaneous)
Cite this
Empirical anaylsis of liquidity provision of an order driven market. / Cheung, Ming Yan 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.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Empirical anaylsis of liquidity provision of an order driven market
AU - Cheung, Ming Yan William
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
KW - Bid-Ask Spread
KW - Limit Order Book
KW - Order flow
KW - Order Size
UR - http://www.scopus.com/inward/record.url?scp=84885982834&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84885982834&partnerID=8YFLogxK
U2 - 10.1109/CIFEr.2013.6611691
DO - 10.1109/CIFEr.2013.6611691
M3 - Conference contribution
SN - 9781467359214
SP - 14
EP - 18
BT - 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
ER -