Publication Type

Conference Paper

Publication Date

7-2004

Abstract

This paper extensively employs the order and trade data to analyze the shape of limit order book and the behavior of strategic order submission. The order book of stocks exhibits weakly convex pattern on the bid side due to wide price spreads away from the market. This characteristic of liquidity is particularly strong for the small stocks with large minimum tick size. In addition, the same order type occurs more frequently after the event had occurred than it would unconditionally. This diagonal effect is not fully explained by the order splitting. Moreover, the determinants driving order aggressiveness include bid-ask spread, market depths, other price spreads and depths away from the market, and market sentiment. Responding to the limit order book movement, an order aggressiveness revision behavior of market order traders is opposite to limit order traders, and contrarian traders react stronger than momentum traders.

Keywords

limit order book, order flow, Thailand

Discipline

Finance and Financial Management

Research Areas

Finance

Publication

Asian Finance Conference, Taipei, July 2004

City or Country

Taipei, Taiwan

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Share

COinS