Big Data

How Does The Market React To Your Order Flow?

Download Now Date Added: Apr 2011
Format: PDF

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.