Market for Information and Identity Disclosure in an Experimental Open Limit Order Book

The information content of an open limit

The information content of an open limit-order book

✍ Charles Cao; Oliver Hansch; Xiaoxin Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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