Diminishing Price Impact in Asian Limit Order Book Markets

2012 ◽  
Author(s):  
Wang Chun Wei ◽  
Quan Gan
Keyword(s):  
Limit Order Book ◽  
Price Impact ◽  
Order Book ◽  
Limit Order ◽  
Book Markets

Limit Order Book Markets

2013 ◽  
pp. 191-235
Author(s):  
Thierry Foucault ◽  
Marco Pagano ◽  
Ailsa Röell
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Book Markets

The self-financing equation in limit order book markets

2019 ◽  
Vol 23 (3) ◽  
pp. 729-759 ◽  
Author(s):  
René Carmona ◽  
Kevin Webster
Keyword(s):  
Limit Order Book ◽  
The Self ◽  
Order Book ◽  
Limit Order ◽  
Book Markets

scholarly journals Trade informativeness and liquidity in Bitcoin markets

PLoS ONE ◽  
2021 ◽  
Vol 16 (8) ◽  
pp. e0255515
Author(s):  
J. Christopher Westland
Keyword(s):  
Trading Volume ◽  
Limit Order Book ◽  
Small Sample ◽  
Market Liquidity ◽  
Order Book ◽  
Information Asymmetries ◽  
Limit Order ◽  
Limit Orders ◽  
Market Orders ◽  
Book Markets

Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions based on new but incomplete information arriving with market orders. This paper measures the information asymmetries in Bitcoin trading limit order books on the Kraken platform, and compares these to prior studies on equities LOB markets. In limit order book markets, traders have the option of waiting to supply liquidity through limit orders, or immediately demanding liquidity through market orders or aggressively priced limit orders. In my multivariate analysis, I control for volatility, trading volume, trading intensity and order imbalance to isolate the effect of trade informativeness on book liquidity. The current research offers the first empirical study of Glosten (1994) to yield a positive, and credibly large transaction cost parameter. Trade and LOB datasets in this study were several orders of magnitude larger than any of the prior studies. Given the poor small sample properties of GMM, it is likely that this substantial increase in size of datasets is essential for validating the model. The research strongly supports Glosten’s seminal theoretical model of limit order book markets, showing that these are valid models of Bitcoin markets. This research empirically tested and confirmed trade informativeness as a prime driver of market liquidity in the Bitcoin market.

scholarly journals Designating market maker behaviour in limit order book markets

2018 ◽  
Vol 5 ◽  
pp. 20-44 ◽  
Author(s):  
Efstathios Panayi ◽  
Gareth W. Peters ◽  
Jon Danielsson ◽  
Jean-Pierre Zigrand
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Market Maker ◽  
Limit Order ◽  
Book Markets

scholarly journals Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers

2020 ◽  
Vol 2020 (095) ◽  
pp. 1-36
Author(s):  
James Collin Harkrader ◽  
◽  
Michael Puglia ◽  
Keyword(s):  
Theoretical Models ◽  
Limit Order Book ◽  
Price Impact ◽  
Market Liquidity ◽  
Order Book ◽  
Limit Order ◽  
Limit Orders ◽  
Cash Transaction ◽  
Informational Advantage

We explore the following question: does the trading activity of registered dealers on Treasury interdealer broker (IDB) platforms differ from that of principal trading firms (PTF), and if so, how and to what effect on market liquidity? To do so, we use a novel dataset that combines Treasury cash transaction reports from FINRA’s Trade Reporting and Compliance Engine (TRACE) and publicly available limit order book data from BrokerTec. We find that trades conducted in a limit order book setting have high permanent price impact when a PTF is the passive party, playing the role of liquidity provider. Conversely, we find that dealer trades have higher price impact when the dealer is the aggressive party, playing the role of liquidity taker. Trades in which multiple firms (whether dealers or PTFs) participate on one or both sides, however, have relatively low price impact. We interpret these results in light of theoretical models suggesting that traders with only a “small” informational advantage prefer to use (passive) limit orders, while traders with a comparatively large informational advantage prefer to use (aggressive) market orders. We also analyze the events that occurred in Treasury markets in March 2020, during the onset of the COVID-19 pandemic.

scholarly journals Designating Market Maker Behaviour in Limit Order Book Markets

2015 ◽  
Author(s):  
Efstathios Panayi ◽  
Gareth William Peters ◽  
Jon Danielsson ◽  
Jean-Pierre Zigrand
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Market Maker ◽  
Limit Order ◽  
Book Markets
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