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Anonymity and the Information Content of the Limit Order Book

✍ Scribed by Duong, Huu Nhan; Kalev, Petko S.

Book ID
122134812
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
625 KB
Volume
30
Category
Article
ISSN
1042-4431

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✍ Charles Cao; Oliver Hansch; Xiaoxin Wang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 215 KB

## Abstract Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately in