首页 | 本学科首页   官方微博 | 高级检索  
     检索      


The next tick on Nasdaq
Authors:Bruce Mizrach
Institution:1. Department of Economics , Rutgers University , 303b New Jersey Hall, New Brunswick , NJ , 08901 , USA mizrach@econ.rutgers.edu
Abstract:The Nasdaq stock market provides information about buying and selling interest in its limit order book. Using a vector autoregressive model of trades and returns, I assess the effect of the entire order book on the next tick. I also determine the influence of individual market makers and electronic networks and find evidence that the identity of market participants can be useful information. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.
Keywords:Market microstructure  Financial time series  Structure of financial markets  Derivatives securities
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号