Quotation 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


BibTeX

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.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Systematic Liquidity in the Xetra Order Book
Event Asian-FA Annual Conference
Year 2008
Date 06.07.-09.07.
Country Japan
Location Yokohama, Tokyo
URL http://www.fma.org

Associations

People
Kopp, Emanuel Albin (Former researcher)
Hütl, Michael (Former researcher)
Loistl, Otto (Details)
Prix, Johannes (Former researcher)
Organization
Institute for Investmentbanking and Catallactics IN (Former organization)
Finance, Accounting and Statistics DP (Details)
Google Scholar: Search