Articles scientifiques

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

B. BIAIS, P. HILLION, C. SPATT

The Journal of Finance

décembre 1995, vol. 50, n°5, pp.1655-1689

Départements : Finance


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)

Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

R. Gibson, H. Loubergé, M. CHESNEY

Finanzmarkt und Portfolio Management, Bern

1995

Départements : Finance


Control Modes in International Service Operations: The Propensity to Franchise

L. JACQUE

Management Science

juillet-août 1995

Départements : Finance


Estimating the Instantaneous Volatility and Covariance of Risky Assets

R. Elliott, M. CHESNEY

Applied Stochastic Models and Data Analysis

1995, vol. 11, pp.51-58

Départements : Finance


Generic Existence of Competitive Equilibria When the Asset Market is Incomplete: A Symmetric Argument

P. Siconolfi, H. M. POLEMARCHAKIS

Economic Theory

1995, n°5

Départements : Finance



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