Order book price impact in the Chinese soybean futures market

2021 ◽  
Author(s):  
Muzhao Jin ◽  
Fearghal Kearney ◽  
Youwei Li ◽  
Yung Chiang Yang
Keyword(s):  
Futures Market ◽  
Price Impact ◽  
Order Book ◽  
Book Price

Order Book Price Impact in the Chinese Soybean Futures Market

2020 ◽  
Author(s):  
Muzhao Jin ◽  
Fearghal Joseph Kearney ◽  
Youwei Li ◽  
Yung Chiang Yang
Keyword(s):  
Futures Market ◽  
Price Impact ◽  
Order Book ◽  
Book Price

Anticipatory Traders and Trading Speed

2018 ◽  
Vol 54 (2) ◽  
pp. 729-758 ◽  
Author(s):  
Raymond P. H. Fishe ◽  
Richard Haynes ◽  
Esen Onur
Keyword(s):  
High Frequency ◽  
Futures Market ◽  
Order Book ◽  
Order Entry ◽  
Oil Futures ◽  
West Texas ◽  
Informed Traders ◽  
Price Trends ◽  
Crude Oil Futures

We examine whether speed is an important characteristic of traders who anticipate local price trends. These anticipatory participants correctly trade prior to the overall market and systematically act before other participants. They use manual and algorithmic order entry methods, but most are not fast enough to be high frequency traders (HFTs). Those anticipating price trends have impacts as if they are informed traders, while the case for anticipatory participants affecting the volume of other traders is rejected. A follow-up sample shows significant attrition in accounts and difficulty maintaining the anticipatory strategies. To identify anticipatory traders, we devise novel methods to isolate local price trends using order book data from the West Texas Intermediate (WTI) crude oil futures market.

Order book dynamics and price impact

2006 ◽  
pp. 88-92
Author(s):  
Philipp Weber ◽  
Bernd Rosenow
Keyword(s):  
Price Impact ◽  
Order Book

scholarly journals Order book approach to price impact

2005 ◽  
Vol 5 (4) ◽  
pp. 357-364 ◽  
Author(s):  
P. Weber ◽  
B. Rosenow *
Keyword(s):  
Price Impact ◽  
Order Book

Broker ID transparency and price impact of trades: evidence from the Korean Exchange

2015 ◽  
Vol 11 (1) ◽  
pp. 117-131 ◽  
Author(s):  
Thu Phuong Pham
Keyword(s):  
Stock Market ◽  
Private Information ◽  
Stock Exchange ◽  
Price Impact ◽  
Least Square ◽  
Market Quality ◽  
Order Book ◽  
Information Effect ◽  
Content Type ◽  
Market Depth

Purpose – The purpose of this paper is to examine the changes in the price impact of trades in the major Korean stock market following the introduction of disclosure to all traders of the top five brokers on the buy-side and the top five brokers on the sell-side of trades in real time for each stock in the KOSDAQ market. Design/methodology/approach – The paper uses several alternative metrics for the price impact of trades. The study applies estimation methodology that accounts for the potential endogeneity of other market quality proxies, which are used as control variables in price impact regressions, by utilizing two-stage-least-square methods with fixed effect specification. Findings – This study finds that the permanent price impact (information effect) of both buyer- and seller-initiated trades increases, which indicates that information is disseminated quicker in a transparent market. Uninformed trades have a larger permanent price impact than informed trades on both the buy and sell sides. The liquidity price effects are found to be mixed for buys and sells. Research limitations/implications – The study supports the current policy of the Korean Exchange to publicly display the five most active broker IDs on both the buy and sell sides, as it attracts both informed and liquidity traders, leading to faster price discovery in a more transparent market. However, a future study which analyzes the change in the market quality in both local markets would provide a complete picture of the effects of the policy. Originality/value – Earlier studies documenting the effect of broker ID disclosure on market quality used effective spreads, market depth or order book imbalance as market quality measures. This study contributes to the existing literature by examining the changes in direct measures of the private information effect and liquidity effect of trades in a stock market – the Korean Stock Exchange – when the other part of the exchange (the KOSDAQ stock market) shifts to public broker ID transparency at the same transparency level.

scholarly journals The Price Impact of Order Book Events

2013 ◽  
Vol 12 (1) ◽  
pp. 47-88 ◽  
Author(s):  
R. Cont ◽  
A. Kukanov ◽  
S. Stoikov
Keyword(s):  
Price Impact ◽  
Order Book
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