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| Author: | Degryse, H. (et al.) |
| Title: | Aggressive orders and the resiliency of a limit order market |
| Journal: | Review of finance
2005 : VOL 9:2, p. 201-242 |
| Index terms: | Stock markets Stock exchanges Trading France |
| Language: | eng |
| Abstract: | This study analyzes the resiliency of a pure limit order (hereafter as: l-ord./l-ords.) market by investigating the l-ord. book (bid and ask prices, spreads (as: sprs./spr.), depth and duration), order flow and transaction prices in a window of best limit updates and transactions around aggressive orders (here as: a-ords). Strong persistence is found in the submission of a-ords. A-ords. take place when sprs. and depths are relatively low, and they induce bid and ask prices to be persistently different after the shock. Depth and spr. remain also higher than just before the ord., however, returning to their initial level within 20 best limit updates after the shock. In adidition.,there are also more detailed results reported. |
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