How Does The Market React To Your Order Flow?

The authors present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, they decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. They find evidence that brokers are very heterogeneous in liquidity provision - some are consistently liquidity providers while others are consistently liquidity takers.

Provided by: Capital Fund Management Topic: Big Data Date Added: Apr 2011 Format: PDF

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