Systematic Liquidity in the Xetra Order Book: A Multi Stage Approach

  • Emanuel Albin Kopp (Ko-Autor*in)
  • Michael Hütl (Ko-Autor*in)

    Aktivität: VortragWissenschaftlicher Vortrag (Science-to-Science)


    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.
    Zeitraum8 Okt. 200811 Okt. 2008
    EreignistitelFMA Annual Conference, Financial Management Association International (FMA)
    VeranstaltungstypKeine Angaben