Publication Type
Conference Paper
Version
acceptedVersion
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
Citation
CHAROENWONG, Charlie; VISALTANACHOTI, Nuttawat; and DING, David K..
Analysis of limit order book and order flow. (2004). Asian Finance Conference, Taipei, July 2004.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/735
Creative Commons License
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