Order Aggressiveness and Order Book Dynamics

Preprint, Research OPEN
Hall, Anthony D.; Hautsch, Nikolaus;
(2004)
  • Publisher: Department of Economics, University of Copenhagen
  • Subject: order aggressiveness; multivariate intensity; open limit order book; order book dynamics
    • jel: jel:C32 | jel:G14 | jel:C41

In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Using order book data from the Australian Stock Exchange, we model traders' aggressiveness in market trading, limit order trading ... View more
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