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B Beginners

Screen Information, Trader Activity, and Bid-Ask Spreads in a Limit Order Market

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Author: Mark Coppejans Categoy: Beginners Pages: 48 Language: English

A clear trend in securities exchange design is towards the introduction of electronic limit order book systems for equities, derivatives, and bonds. This development has generated a growing literature on order flow and its contribution to market activity and price formation.1 We analyze the links between information observed through the system by traders, order placement behavior, and the probability structure of the bid-ask spread in this paper.

Table of Contents 1. Introduction 2. Trading Institutions and Data 3. Information Sets and Associated Conditional Duration Models 4. The Probability Structure of the Bid-Ask Spread 5. The Impact of Trading and Book Information on Spread Probabilities 6. Concluding Remarks References  

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Erick Gálvez
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