Empirical Research of Price and Liquidity in the Japanese Commdity Futures Markets with Transactions Order Data

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This empirical research aims to clarify the factors in limit order decision making. The board of trade has been reproduced from the commodity futures transactions order data. According to previous study, the analysis focuses on three points: order prices, execution probabilities, and picking off risks. The feature of this research is that the analysis not only uses information on execution but also information on orders. Specifically, the model uses information on order units, order time and tick price in addition to the ordinarily used bid-ask quotations, depth, transaction amounts, and variability of execution prices. Furthermore, it analyzes the decision making using cancel order information. As a result, it has been demonstrated that there is an order of preference in tick prices for orders and that in some cases decisions about orders are made using board information. However, the reproduction of the board could be improved and ways to do this are being considered.