scholarly journals Large Large-Trader Activity Weakens the Long Memory of Limit Order Markets

2018 ◽  
Author(s):  
Kevin Primicerio ◽  
Damien Challet
Keyword(s):  
Long Memory ◽  
Limit Order ◽  
Limit Order Markets

scholarly journals Large Large-Trader Activity Weakens the Long Memory of Limit Order Markets

2018 ◽  
Vol 04 (01n02) ◽  
pp. 1950004
Author(s):  
Kevin Primicerio ◽  
Damien Challet
Keyword(s):  
Empirical Evidence ◽  
Long Memory ◽  
Limit Order ◽  
Investment Funds ◽  
Limit Order Markets ◽  
Market Order ◽  
Important Contributor ◽  
Order Books ◽  
Limit Order Books ◽  
Large Investment

Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books is influenced by the aggregate quarterly actions of large investment funds. In particular, we find that the well-established long memory of market order signs is markedly weaker when large investment funds trade in a directional way and even weaker when their aggregate participation ratio is large. Conversely, we investigate to what extent a weaker memory of market order signs predicts that an asset is being actively traded by large funds. Theoretical arguments suggest two candidate mechanisms that may contribute to the observed effect: a larger number of active meta-orders and a modification of the distribution of size of meta-orders. Empirical evidence suggests that the number of active meta-orders is probably the most important contributor to the reduction of market order sign memory.

Optimal Margin Requirements in Limit Order Markets

2009 ◽  
Author(s):  
Dan Ladley ◽  
Terje Lensberg ◽  
Klaus Reiner Schenk-Hoppé
Keyword(s):  
Limit Order ◽  
Limit Order Markets ◽  
Margin Requirements

scholarly journals Does Anonymity Matter in Electronic Limit Order Markets?

2007 ◽  
Vol 20 (5) ◽  
pp. 1707-1747 ◽  
Author(s):  
Thierry Foucault ◽  
Sophie Moinas ◽  
Erik Theissen
Keyword(s):  
Limit Order ◽  
Limit Order Markets

scholarly journals A behavioural model of investor sentiment in limit order markets

2016 ◽  
Vol 17 (1) ◽  
pp. 71-86 ◽  
Author(s):  
Carl Chiarella ◽  
Xue-Zhong He ◽  
Lei Shi ◽  
Lijian Wei
Keyword(s):  
Investor Sentiment ◽  
Limit Order ◽  
Limit Order Markets ◽  
Behavioural Model
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