Quotation Kopp, Emanuel Albin, Hütl, Michael. 2008. Systematic Liquidity in the Xetra Order Book: A Multi Stage Approach. FMA Annual Conference, Financial Management Association International (FMA), Grapevine / Dallas (Texas), Vereinigte Staaten/USA, 08.10.-11.10.2008.


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Abstract

Based on reconstructed high-frequency limit order book data, we provide empirical evidence of systematic liquidity co-variation across stocks. We show that commonality in liquidity is even more crucial beyond the best limits, and that liquidity shocks are correlated across different order book areas. Moreover, we show that (aggregated) systematic liquidity constitutes a priced factor. In order to understand the origins of market-wide liquidity interactions, we study systematic patterns on the sub-level of individual order submissions. Each single order activity is classified according to its aggressiveness. We propose that latent determinants in trading behavior are a source of liquidity commonality in the limit order book.

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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: A Multi Stage Approach
Event FMA Annual Conference, Financial Management Association International (FMA)
Year 2008
Date 08.10.-11.10.2008
Country United States/USA
Location Grapevine / Dallas (Texas)
URL http://www.fma2.org/Texas/Papers/SystematicLiquidityInTheXetraOrderBook.pdf

Associations

People
Kopp, Emanuel Albin (Former researcher)
Hütl, Michael (Former researcher)
Organization
Institute for Investmentbanking and Catallactics IN (Former organization)
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