scholarly journals The Information Content of a Limit Order Book: The Case of an FX Market

2010 ◽  
Author(s):  
Roman Kozhan ◽  
Mark Howard Salmon
Keyword(s):  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Fx Market

The information content of an open limit-order book

2009 ◽  
Vol 29 (1) ◽  
pp. 16-41 ◽  
Author(s):  
Charles Cao ◽  
Oliver Hansch ◽  
Xiaoxin Wang
Keyword(s):  
Information Content ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order

The information content of the thinner order book following tick size reduction

2014 ◽  
Vol 40 (3) ◽  
pp. 218-233
Author(s):  
Cheng-Yi Chien ◽  
Tzu-Hsiang Liao ◽  
Hsiu-Chuan Lee
Keyword(s):  
Information Content ◽  
Stock Exchange ◽  
Limit Order Book ◽  
Order Book ◽  
Tick Size ◽  
Limit Order ◽  
Content Type ◽  
Taiwan Stock Exchange ◽  
Using Data ◽  
The Impact

Purpose – This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share proposed by Hasbrouck and extended by Lien and Shrestha is used in this paper. Findings – The empirical results show that the limit order book is informative. Furthermore, the results indicate that a reduction in tick size will decrease the information content of the order book and the decrease in the information content of the order book is positively related to the thinner order book. Originality/value – This paper suggests that, in order to enhance the information content of the order book, the TWSE should disclose the full limit order book.

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