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on Market Microstructure |
| By: | Fabrizio Pomponio (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris); Frédéric Abergel (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris) |
| Abstract: | Order splitting is a standard practice in trading : traders constantly scan the limit order book and choose to limit the size of their market orders to the quantity available at the best limit, thereby controlling the market impact of their orders. In this article, we focus on the other trades, multiple-limits trades that go through the best available price in the order book, or "trade-throughs". We provide various statistics on trade-throughs: frequency, volume, intraday distribution, market impact... and present a new method for the measurement of lead-lag parameters between assets, sectors or markets. |
| Keywords: | Lead-lag measures, multiple-limit trades, equity futures |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00745317&r=mst |
| By: | Thomas Stoeckl |
| Abstract: | We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i) is the higher the higher the number of insiders in the market but (ii) is unaffected by changes in the subset of traders who know about the number of insiders present. (iii) Independent of the number ofinsiders, price efficiency increases gradually over time. (iv) The insiders' information is reflected in prices via limit (market) orders if the asset's value is inside (outside) the bid-ask spread. (v) In situations where limit and market orders yield positive profits, insiders clearly prefer market orders, indicating a strong desire for immediate transactions. |
| Keywords: | insider, competition, asset market, price efficiency, trading behavior, experimental economics |
| JEL: | C92 D82 G12 G14 |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:inn:wpaper:2013-11&r=mst |
| By: | Ban Zheng (LTCI - Laboratoire Traitement et Communication de l'Information [Paris] - Télécom ParisTech - CNRS : UMR5141, FiQuant - Chaire de finance quantitative - Ecole Centrale Paris); Eric Moulines (LTCI - Laboratoire Traitement et Communication de l'Information [Paris] - Télécom ParisTech - CNRS : UMR5141); Frédéric Abergel (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris) |
| Abstract: | A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative for predicting the future market order's direction. Moreover, we de ne price jump as a sell (buy) market order arrival which is executed at a price which is smaller (larger) than the best bid (best ask) price at the moment just after the precedent market order arrival. Features are then extracted related to limit order volumes, limit order price gaps, market order information and limit order event information. Logistic regression is applied to predict the price jump from the limit order book's feature. LASSO logistic regression is introduced to help us make variable selection from which we are capable to highlight the importance of di erent features in predicting the future price jump. In order to get rid of the intraday data seasonality, the analysis is based on two separated datasets: morning dataset and afternoon dataset. Based on an analysis on forty largest French stocks of CAC40, we nd that trade sign and market order size as well as the liquidity on the best bid (best ask) are consistently informative for predicting the incoming price jump. |
| Keywords: | limit order book, price jumps, predictibility, LASSO, |
| Date: | 2013–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00684716&r=mst |
| By: | Frédéric Abergel (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris); Riadh Zaatour (FiQuant - Chaire de finance quantitative - Ecole Centrale Paris, MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris) |
| Abstract: | We rely on high frequency data to explore the joint dynamics of underlying and option markets. In particular, high frequency data make observable the realized variance process of the underlying, so its effects on option price dynamics are tested. Empirical results are confronted with the predictions of stochastic volatility models. The study reveals that while the modeling of stochastic volatility gives more robust models, the market does not process information on the realized variance to update option prices. |
| Keywords: | options, microstructure, smile, stochastic volatility |
| Date: | 2012–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00687675&r=mst |