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| Tekijä: | Hedvall, K. Niemeyer, J. Roenqvist, G. |
| Otsikko: | Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stockexchange |
| Lehti: | Journal of Empirical Finance
1997 : JUN, Vol. 4:2-3, p. 279-293 |
| Asiasana: | STOCK MARKETS STOCK EXCHANGES FINLAND |
| Kieli: | eng |
| Tiivistelmä: | The symmetry of an electronic limit order book is studied using high-frequency data. Is the order flow generated by buyers of the same structure as the one by sellers or would factors such as short selling restrictions and information trading result in asymmetries in the order flow? A model expressing the symmetry of a limit order book is developed and tested within a log-linear Poisson regression framework. Allthough the orderflow was found to be quite symmetric in general, clear asymmetries were identified for various tradecategories suggesting differences between the order submission of buyers and sellers using a limit order book. |
SCIMA