Quotation Kopp, Emanuel Albin, Hütl, Michael, Loistl, Otto, Prix, Johannes. 2008. Measuring Stock and Market Sentiment from Full-displayed Limit Order Book Data.


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Abstract

One of the most important recent developments in stock exchanges’ information management systems is the real-time provision of full-displayed order book data to market participants. For instance, the London Stock Exchange has already introduced such services to interested clients. This evolution, which also represents an improvement in market transparency, offers considerably more detailed order book information to stock market traders than ever before. This additional trading information may also work as input data into trading algorithms and event stream processing systems. To address this current issue, we present measurement techniques for real-time order book data, and introduce some partly new sentiment measures that allow capturing information from the entire limit order book. Moreover, we study interrelations between the applied variables, and their connections to price behavior and liquidity supply. To examine to which extent idiosyncratic sentiment is influenced by market sentiment, we extract the systematic components of each measure using projection-pursuit principal components analysis. We furthermore consider common factors in liquidity and discuss the relation between market sentiment and systematic liquidity in more detail. Empirical results are presented using high-frequency order book data from the Xetra trading system of the Frankfurt Stock Exchange.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Measuring Stock and Market Sentiment from Full-displayed Limit Order Book Data
Year 2008
URL http://www.fek.su.se/conference/Financial_Modelling/Abstracts/Kopp_A.pdf

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)
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