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

Beschreibung

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.

Zeitraum	8 Okt. 2008 → 11 Okt. 2008
Ereignistitel	FMA Annual Conference, Financial Management Association International (FMA)
Veranstaltungstyp	Keine Angaben
Bekanntheitsgrad	International