User menu

Commonalities in the order book

Bibliographic reference Beltran-Lopez, Helena ; Giot, Pierre ; Grammig, Joachim. Commonalities in the order book. In: Financial Markets and Portfolio Management, Vol. 23, no. 3, p. 209-242 (2010)
Permanent URL
  1. Ahn, H., Cheung, Y.: The intraday patterns of the spread and depth in a market with market makers: the stock exchange of Hong Kong. Pac.-Basin Finance J. 7, 539–556 (1999)
  2. Ahn, H., Bae, K., Chan, K.: Limit orders, depth and volatility: evidence from the stock exchange of Hong Kong. J. Finance 56, 767–788 (2001)
  3. Amihud, Y., Mendelson, H.: Stock and bond liquidity and its effect on prices and financial policies. Financ. Mark. Portf. Manag. 20, 19–32 (2006)
  4. Bauer, W.: Commonality in liquidity in pure order-driven markets. Working paper, University of Zurich (2004)
  5. Biais, B., Hillion, P., Spatt, C.: An empirical analysis of the limit order book and the order flow in the Paris Bourse. J. Finance 50, 1655–1689 (1995)
  6. Brockman Paul, Chung Dennis Y., An analysis of depth behavior in an electronic, order-driven environment, 10.1016/s0378-4266(99)00044-8
  7. Brockman, P., Chung, D.: Commonality in liquidity: evidence from an order-driven market structure. J. Financ. Res. 25, 521–539 (2002)
  8. Cao, C., Hansch, O., Wang, X.: The informational content of an open limit order book. J. Futures Mark., Forthcoming (2009)
  9. Chan, Y.: Price movement effects on the state of the electronic limit-order book. Financ. Rev. 40, 195–221 (2005)
  10. Chordia, T., Roll, R., Subrahmanyam, A.: Commonality in liquidity. J. Financ. Econ. 56, 3–28 (2001)
  11. Coughenour, J., Saad, M.: Common market makers and commonality in liquidity. J. Financ. Econ. 73, 37–69 (2004)
  12. Danielsson, J., Payne, R.: Measuring and explaining liquidity on an electronic limit order book: evidence from Reuters D2000-2. Financial Markets Group, London School of Economics (2001)
  13. De Winne, R., D’Hondt, C.: Hide-and-seek in the market: placing and detecting hidden orders. Rev. Finance 11, 663–692 (2007)
  14. Degryse, H.: Competition between financial markets in Europe: what can be expected from MiFID. Financ. Mark. Portf. Manag. 23, 93–103 (2009)
  15. Deutsche Börse AG: Xetra market model release 3 stock trading. Technical Report (1999)
  16. Domowitz, I., Hansch, O., Wang, X.: Liquidity commonality and return co-movement. J. Financ. Mark. 8, 351–376 (2005)
  17. Forni, M., Hallin, M., Lippi, M., Reichlin, L.: The generalized factor model: consistency and rates. J. Econom. 119, 231–255 (2003)
  18. Foucault, T., Kadan, O., Kandel, E.: Limit order book as a market for liquidity. Rev. Financ. Stud. 18, 1171–1217 (2005)
  19. Giot, P., Grammig, J.: How large is liquidity risk in an automated auction market? Empir. Econ. 30, 867–887 (2006)
  20. Glosten, L.: Is the electronic open limit order book inevitable? J. Finance 49, 1127–1161 (1994)
  21. Gomber, P., Schweickert, U., Theissen, E.: Zooming in on liquidity. EFA 2004 Working Paper, University of Bonn (2004)
  22. Hamilton, J.D.: Time Series Analysis. Princeton University Press, Princeton (1994)
  23. Hansch, O.: Island tides: exploring ECN liquidity. In: EFMA 2003 Helsinki Meetings (2003)
  24. Hasbrouck, J.: Measuring the information content of stock trades. J. Finance 46(1), 179–207 (1991)
  25. Hasbrouck, J., Seppi, D.: Common factors in prices, order flows and liquidity. J. Financ. Econ. 59, 383–411 (2001)
  26. Irvine, P., Benston, G., Kandel, E.: Liquidity beyond the inside spread: measuring and using information in the limit order book. Mimeo, Goizueta Business School, Emory University, Atlanta (2000)
  27. Keiber, K.: The informational content of transactions. Financ. Mark. Portf. Manag. 19, 47–60 (2005)
  28. Kempf, A., Mayston, D.: Liquidity commonality beyond best prices. J. Financ. Res. 31, 25–40 (2008)
  29. Naes, R., Skjeltorp, J.: Order book characteristics and the volume-volatility relation: empirical evidence from a limit order market. J. Financ. Mark. 9, 408–432 (2006)
  30. Pardo, A., Pascual, R.: On the hidden side of liquidity. Working Paper Universidad de las Islas Baleares (2004)
  31. Parlour, C.A.: Price dynamics in limit order markets. Rev. Financ. Stud. 11, 789–816 (1998)
  32. Stoll, H.: The supply of dealer services in securities markets. J. Finance 33, 1133–1151 (1978)