Kopp, Emanuel Albin, Hütl, Michael, Loistl, Otto, Prix, Johannes. 2008. Systematic Liquidity in the Xetra Order Book. Asian-FA Annual Conference, Yokohama, Tokyo, Japan, 06.07.-09.07..

RIS

@CONFERENCE{Kopp2008,
title = {Systematic Liquidity in the Xetra Order Book},
author = {Emanuel Albin Kopp and Michael Hütl and Otto Loistl and Johannes Prix},
year = {2008},
address = {Yokohama, Tokyo},
url = {http://www.fma.org},
language = {EN},
misc = {Asian-FA Annual Conference},
abstract = {The latest developments in the literature on market-wide liquidity are the investigation of order-driven market structures, the application of higher data frequencies, and there is also a shift towards a demand/supply perspective of liquidity. But most existing studies concentrate exclusively on liquidity around the spread, which represents only a small area of the liquidity provided by limit orders in the order book. We apply liquidity measures that capture different non-overlapping tradability aspects of liquidity in the entire limit order book. Since conventional PCA methods can be strongly affected by the presence of outliers in the sample, we rely on a robust principal component analysis method based on the Projection-Pursuit principle (Huber (1985)) to estimate the systematic liquidity components. Moreover, a PCA methodology allows no economic interpretation of the systematic factors. Therefore, a a multi-stage PCA and regression approach is proposed that allows a more detailed investigation of cross-sectional liquidity determinants and their interactions during the trading session. Additionally, we apply several other trading-related measures that allow to capture information from the (entire) limit order book, and study the relation of their market-wide factors to systematic factors in liquidity. This is the first empirical study on non-idiosyncratic liquidity components that investigates different time periods during the trading session based on complete tick-by-tick order book data from the Xetra trading system.},
}