The next tick on Nasdaq |
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Authors: | Bruce Mizrach |
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Affiliation: | 1. Department of Economics , Rutgers University , 303b New Jersey Hall, New Brunswick , NJ , 08901 , USA mizrach@econ.rutgers.edu |
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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. |
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Keywords: | Market microstructure Financial time series Structure of financial markets Derivatives securities |
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