Modelling the buy and sell intensity in a limit order book market
- 作者：Anthony D. Hall ; Nikolaus Hautsch
- 关键词：Buy and sell arrival process ; Order book information ; Market depth ; Bivariate autoregressive intensity model ; Net buy pressure
- 刊名：Journal of Financial Markets
- 出版年：2007
- 期刊代码：48_13864181
- 类别：bus
- 出版时间：August 2007
- 卷：10
- 期：3
- 页码：249-286
- 文件大小：528 K
摘要
In this paper, we model the buy and sell arrival process in the limit order book market at the Australian Stock Exchange. Using a bivariate autoregressive intensity model we analyze the contemporaneous buy and sell intensity as a function of the state of the market. We find evidence that trading decisions are both information as well as liquidity driven. Confirming predictions from market microstructure theory traders submit market orders by inferring from the recent order flow and the book with respect to upper and lower tail expectations as well as trading directions. However, traders also tend to take liquidity when the liquidity supply is high. Moreover, we find evidence that traders pay more attention to recent order arrivals and the current state of the order book than to the past order flow.