Empirical anaylsis of liquidity provision of an order driven market

William Cheung*

*この研究の対応する著者

研究成果: Conference contribution

抄録

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.

本文言語English
ホスト出版物のタイトル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
ページ14-18
ページ数5
DOI
出版ステータスPublished - 2013
外部発表はい
イベント2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013 - Singapore, Singapore
継続期間: 2013 4月 162013 4月 19

出版物シリーズ

名前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

Other2013 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2013 - 2013 IEEE Symposium Series on Computational Intelligence, SSCI 2013
国/地域Singapore
CitySingapore
Period13/4/1613/4/19

ASJC Scopus subject areas

  • 人工知能
  • 経済学、計量経済学および金融学(その他)

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