FIN-04-004 |
NYU Stern School of Business |
November 2003
Angel Pardo and Roberto Pascual
ABSTRACT
This paper studies the importance of different pieces of limit order book information
in characterizing order aggressiveness and the timing of trades, order submissions
and cancellations. Using limit order book information on liquid and frequently
traded Spanish stock, we evidence that most of the explanatory power of the
book concentrates on the best quotes. However, the book beyond the best quotes
also matters in explaining the aggressiveness of traders. Liquidity providers
benefit more from an increased degree of pre-trade transparency than liquidity
consumers. Finally, no piece of book information matters in explaining the timing
of orders.
Angel Pardo
Institution: Departamento de Economía Financiera Universidad de Valencia Facultad
de Economía Edificio Departamental Oriental 46022 Valencia, Spain
Telephone: +34-963-82-83-77
Fax: +34-963-82-83-70
Email: angel.pardo@uv.es
Roberto Pascual
Visiting Scholar, NYU Salomon Center Fall 2003
Institution: Universidad de las Islas Baleares
Telephone: +34-971-17-13-29
Fax: +34-971-17-23-89
Email: rpascual@uib.es
To download a copy of this paper click here
To request a copy of this paper click here
|