Quotation Kopp, Emanuel Albin, Hütl, Michael. 2008. Systematic Patterns in Liquidity and Order Aggressiveness.


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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 Working/discussion paper, preprint
Language English
Title Systematic Patterns in Liquidity and Order Aggressiveness
Year 2008
URL http://www.fma.org/Texas/TexasProgram.htm#113

Associations

People
Kopp, Emanuel Albin (Former researcher)
Hütl, Michael (Former researcher)
Organization
Institute for Investmentbanking and Catallactics IN (Former organization)
Finance, Accounting and Statistics DP (Details)
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