Cross-Asset Market Order Flow, Liquidity, and Price Discovery

2019 ◽  
Author(s):  
Robert Garrison ◽  
Pankaj K. Jain ◽  
Mark Endel Paddrik
Keyword(s):  
Price Discovery ◽  
Asset Market ◽  
Order Flow ◽  
Market Order

Exchange rate determination and inter-market order flow effects

2012 ◽  
Vol 18 (9) ◽  
pp. 823-840 ◽  
Author(s):  
Jón Daníelsson ◽  
Jinhui Luo ◽  
Richard Payne
Keyword(s):  
Exchange Rate ◽  
Order Flow ◽  
Exchange Rate Determination ◽  
Market Order ◽  
Flow Effects

Quotes, Order Flow, and Price Discovery

1997 ◽  
Vol 52 (1) ◽  
pp. 221-244 ◽  
Author(s):  
MARSHALL E. BLUME ◽  
MICHAEL A. GOLDSTEIN
Keyword(s):  
Price Discovery ◽  
Order Flow

Does International Order Flow Contribute to Price Discovery in Futures Markets?

2012 ◽  
Vol 32 (12) ◽  
pp. 1124-1143 ◽  
Author(s):  
Alex Frino ◽  
Robert I. Webb ◽  
Hui Zheng
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
International Order ◽  
Order Flow

The Geographic Origin of Order Flow and Price Discovery

2012 ◽  
Author(s):  
Alex Frino ◽  
Robert I. Webb ◽  
Hui Zheng
Keyword(s):  
Price Discovery ◽  
Geographic Origin ◽  
Order Flow

scholarly journals Warrants and their underlying stocks: Microstructure evidence from an emerging market

2018 ◽  
Vol 8 (3) ◽  
pp. 43-60
Author(s):  
Charlie Charoenwong ◽  
David K. Ding ◽  
Nuttawat Visaltanachoti
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Emerging Market ◽  
Order Flow ◽  
Flow Ratio ◽  
Market Structures ◽  
Market Order ◽  
Stock Exchange Of Thailand ◽  
Underlying Stocks ◽  
Depth Concentration

The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We document that flow toxicity is negatively related to spread and positively related to depth, market order flow ratio, trade size, trading volume, and volatility.

The Geographic Origin of Order Flow and Price Discovery

2011 ◽  
Author(s):  
Alex Frino ◽  
Robert I. Webb ◽  
Hui Zheng
Keyword(s):  
Price Discovery ◽  
Geographic Origin ◽  
Order Flow
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