Commonalities in Liquidity in Pure Order-Driven Markets
Commonalities in Liquidity in Pure Order-Driven Markets
复制标题
纯订单驱动市场流动性的共性
DOI：
10.2139/ssrn.676964
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
A. Kempf
中科院分区：
文献类型：
--
作者：
D. Mayston;A. Kempf
本文研究了电子限价指令市场流动性的共性。我们使用来自德国股票电子交易设施的订单簿数据。我们采用传统的价差和深度指标作为流动性代理，价格影响函数的参数估计以及价格影响和相关报价量的多维指标。我们记录了流动性的大量共同波动。这些数据提供了证据，证明在订单簿中的共性比仅仅围绕最佳报价更强。
This paper investigates commonality in liquidity for electronic limit order markets. We use order book data from the electronic trading facility for German equities. We employ conventional spread and depth measures as liquidity proxies, parameter estimates of the price impact function as well as multi-dimensional measures of price impacts and associated quoted volumes. We document substantial common movements in liquidity. The data provides evidence that commonalities are stronger deeper in the order book than around best quotes alone.