Download Market Microstructure and Nonlinear Dynamics: Keeping by Gilles Dufrénot, Fredj Jawadi, Waël Louhichi PDF

By Gilles Dufrénot, Fredj Jawadi, Waël Louhichi

This publication discusses industry microstructure surroundings in the context of the worldwide monetary concern. within the first half, the marketplace microstructure concept is recalled and the most microstructure versions and hypotheses are mentioned. the second one half specializes in the most results of the monetary downturn via an exam of industry microstructure dynamics. particularly, the results of marketplace imperfections and the restrictions linked to microstructure versions are mentioned. eventually, the recent laws and up to date advancements for monetary markets that goal to enhance the marketplace microstructure are mentioned. famous specialists at the topic give a contribution to the chapters within the booklet. A must-read for educational researchers, scholars and quantitative practitioners.

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Extra info for Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context

Sample text

The majority of contracts are located beyond the best price level. For the 90-Day Bank Bill Futures, more than 65 % of contracts reside at the second and third levels. Likewise, for the 10-Year Treasury Bond Futures, over 70 % of contracts are located behind the best quotes. Our findings are consistent with those of Cao et al. (2009) for equity market, and highlight the importance of studying the incremental information content of the limit orders behind the best bid and ask level. The height is lowest at the top of the book for all contracts in all sub-periods.

In contrast, a growing body of literature suggests that informed traders embrace limit orders as an integral part of their order placement strategy and the limit order book contains information on future price movements (see, among others, Chakravarty and Holden 1995; Anand et al. 2005; Bloomfield et al. 2005; Harris and Panchapagesan 2005; Wald and Horrigan 2005; Kaniel and Liu 2006). More recently, Cao et al. (2009) use data from the Australian equity market to investigate the incremental information content of the limit orders beyond the best price level.

Timb| refers to the absolute trade imbalance. Spread is calculated as the inside spread relative to the average of the best bid and ask prices. |QR| and |HR| stand for the absolute value of the scaled imbalance in the length (quantity) and height (price) of each price level. The Adjusted R2, F-statistics, and P-value (F-test) are reported. N. Duong et al. Pre-trade Transparency and the Information Content of the Limit Order Book 39 F-statistics for all three contracts. In general, the limit orders below the top of the book are informative after the first event in 2001.

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