Do Stylised Facts of Order Book Markets Need Strategic Behaviour?

2007 ◽  
Author(s):  
Dan Ladley ◽  
Klaus Reiner Schenk-Hoppé
Keyword(s):  
Order Book ◽  
Strategic Behaviour ◽  
Book Markets

Do stylised facts of order book markets need strategic behaviour?

2009 ◽  
Vol 33 (4) ◽  
pp. 817-831 ◽  
Author(s):  
Dan Ladley ◽  
Klaus Reiner Schenk-Hoppé
Keyword(s):  
Order Book ◽  
Strategic Behaviour ◽  
Book Markets

Volatility Regimes and the Provision of Liquidity in Order Book Markets

2004 ◽  
Author(s):  
Helena M. Beltran-Lopez ◽  
Alain C. J. Durré ◽  
Pierre Giot
Keyword(s):  
Order Book ◽  
Volatility Regimes ◽  
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.

The Role of Visual Analysis in the Regulation of Electronic Order Book Markets

2014 ◽  
Author(s):  
Mark E. Paddrik ◽  
Richard Haynes ◽  
Andrew Todd ◽  
Peter Beling ◽  
William Scherer
Keyword(s):  
Visual Analysis ◽  
Order Book ◽  
Electronic Order ◽  
Book Markets

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
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