Commonalities in the order book

被引：8

作者：

Beltran-Lopez H. ^{[1
]}

Giot P. ^{[2
,3
]}

Grammig J. ^{[4
]}

机构：

[1] Fifth Third Asset Management, Cleveland

[2] Louvain School of Management, University of Namur, CeReFiM, 5000 Namur

[3] Université catholique de Louvain, 1348 Louvain-la-Neuve

[4] Faculty of Economics, University of Tübingen, 72074 Tübingen

来源：

Financial Markets and Portfolio Management | 2009年 / 23卷 / 3期

关键词：

Commonalities; Limit order book; Liquidity; Market microstructure;

D O I：

10.1007/s11408-009-0109-y

中图分类号：

学科分类号：

摘要：

This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The result that bid and ask side as well as the visible and hidden parts of the order book exhibit quite specific dynamics is interpreted as evidence that open order book markets attract a heterogeneous trader population in terms of asset valuations and impatience. Quantifying the informational content of the extracted factors with respect to the evolution of the asset price, we find that the factor information shares are highest (about 10%) for less frequently traded stocks. We also show that the informational content of hidden orders is limited. © Swiss Society for Financial Market Research 2009.

引用

页码：209 / 242

页数：33

共 32 条

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