Limit Order Clustering and Price Barriers on Financial Markets: Empirical Evidence from Euronext

2007 ◽  
Author(s):  
Alexis Cellier ◽  
David Bourghelle
Keyword(s):  
Financial Markets ◽  
Empirical Evidence ◽  
Limit Order

Trust and Household Portfolios

2021 ◽  
pp. 78-97
Author(s):  
Diego Lubian
Keyword(s):  
Financial Markets ◽  
Empirical Evidence ◽  
Financial Literacy ◽  
Risky Assets ◽  
Financial Decisions ◽  
Portfolio Decisions ◽  
Financial Decision ◽  
Financial Portfolio ◽  
Socio Demographic Factors ◽  
The Relationship

This article provides empirical evidence on the existence and the extent of the influence of trust in financial decisions using individual data on Italian households from the Survey on Household Income and Wealth, 2010. This article studies the relationship between, trust in people, trust in banks and more detailed previously unexplored dimensions of trust, and household financial portfolio decisions. The article provides empirical evidence that trust in people and trust in banks affect both participation in financial markets, the share of risky assets and the diversification of the financial portfolio, controlling socio-demographic factors, risk aversion, and financial literacy as well. The article finds that trust is important for individuals with a lower level of education who have limited possibilities to acquire and process information on financial markets need to rely in trustworthy relationship to define their financial portfolio. Further, we present evidence that the main channel by which trust affects financial decision making and determines too little participation, a lower share of risky assets in the financial wealth and poorly diversified portfolios is trust in family and friends.

Limit order books: a systematic review of literature

2020 ◽  
Vol 12 (4) ◽  
pp. 505-541
Author(s):  
Abhinava Tripathi ◽  
Vipul Vipul ◽  
Alok Dixit
Keyword(s):  
Financial Markets ◽  
Information Dissemination ◽  
Future Research ◽  
Order Book ◽  
Limit Order ◽  
Content Type ◽  
Research Areas ◽  
Order Books ◽  
Intelligent Models ◽  
Limit Order Books

Purpose This study aims to provide a systematic literature review of the research study in the area of limit order book (LOB) mechanism of trading and its implications for market efficiency. The study attempts to document the recent theoretical developments and empirical findings from the literature exhaustively and identifies the research gaps for future research. Design/methodology/approach The study uses seven reputable databases to select 2,514 research studies spanning over 1981-2018 (finally compressed to a pool of 103 articles, based on relevance and impact). The study uses bibliometric network visualization and text analytics to categorize and examine the literature. The chosen articles are compiled and analyzed to provide a comprehensive account of the current research on LOBs. Findings The recent LOB literature is summarized on various criteria as follows: sub-areas, the types of economies and markets, methodologies and the LOB measures. The review identifies a dearth of studies on the LOBs in emerging markets. It suggests the potential research areas as intraday studies in emerging LOB markets; application of market indicators based on deeper levels of LOB, beyond the best prices; market fragmentation, order routing decision and its impact on order execution quality; optimal display of LOB levels; liquidity dynamics in quote-driven markets vis-à-vis LOB markets; effect of high-frequency trading on market microstructure; application of advanced techniques (e.g. machine learning models, zero-intelligent models); relationship between the trading speed, order aggressiveness, shape and resilience of the order book and informed trading; and information content of the auxiliary order submission strategies, including cancellation, amendments and hidden orders. Originality/value For the past 15 years, to the best of the knowledge, a comprehensive review of the literature on LOBs has not been published. The financial markets have transformed significantly over this period, driven by the adoption of LOBs, low latency trading and technological advancements in information dissemination. This article provides an extensive collection and classification of the literature on LOBs. This would be useful for the practitioners, future researchers and academics in the area of financial markets.

Excess demand and equilibration in multi-security financial markets: the empirical evidence

2003 ◽  
Vol 6 (1) ◽  
pp. 1-21 ◽  
Author(s):  
Elena Asparouhova ◽  
Peter Bossaerts ◽  
Charles Plott
Keyword(s):  
Financial Markets ◽  
Empirical Evidence ◽  
Excess Demand

Behavioral Finance Market Hypotheses

2017 ◽  
Author(s):  
Alex Plastun
Keyword(s):  
Financial Markets ◽  
Empirical Evidence ◽  
Behavioral Finance ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
New Concepts ◽  
Overreaction Hypothesis ◽  
Fractal Market Hypothesis ◽  
Behavioral Perspective

Although the efficient market hypothesis (EMH) is the leading theory describing the behavior of financial markets, researchers have increasingly questioned its efficacy since the 1980s because of its inconsistencies with empirical evidence. This challenge to EMH has resulted in the development of new concepts and theories. These new concepts reject the assumption of investor rationality. The most promising and convincing among these are the adaptive markets hypothesis, overreaction hypothesis, underreaction hypothesis, noisy market hypothesis, functional fixation hypothesis, and fractal market hypothesis. The chapter provides a brief description of these theories and proposes using a behavioral perspective to analyze financial 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.

Do (Should) Brokers Route Limit Orders to Options Exchanges That Purchase Order Flow?

2019 ◽  
pp. 1-29
Author(s):  
Robert Battalio ◽  
Todd Griffith ◽  
Robert Van Ness
Keyword(s):  
Empirical Evidence ◽  
Stock Exchange ◽  
Order Flow ◽  
Limit Order ◽  
Purchase Order ◽  
Limit Orders ◽  
Order Execution

We examine whether options exchanges’ pricing schedules affect broker order routing behavior and limit order execution quality. We find that some brokers seemingly maximize the value of their order flow by selling marketable orders and sending nonmarketable orders to exchanges that offer large liquidity rebates. Other brokers appear to bypass liquidity rebates by routing both marketable and nonmarketable orders to exchanges that purchase order flow. Using a decision by the Philadelphia Stock Exchange (PHLX) to change its trading protocol, we provide empirical evidence that brokers can enhance limit order execution quality by routing nonmarketable limit orders to options exchanges that purchase order flow.

Sign in / Sign up

Export Citation Format

Share Document