A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
Your search
Publication year
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.
Resource type
Authors/contributors
- Biais, Bruno (Author)
- Hillion, Pierre (Author)
- Spatt, Chester (Author)
Title
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse.
Abstract
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases).
Publication
The Journal of Finance
Volume
50
Issue
5
Pages
1655-89
Date
1995-12
Citation
Biais, B., Hillion, P., & Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance, 50, 1655–1689.
Journals
Link to this record