An Empirical Investigation on Trading Duration and Trader Behavior
A key focus of empirical work on limit order markets is the relative importance of individual pieces of information in characterizing order submission and trade execution. This paper enlarges this focus to include an examination of pricing behavior, using intraday data on stocks trading in a pure electronic limit order book market. A theoretical linkbetween order, trade, and cancellation arrival rates is empirically implemented. I use the autoregressive conditional duration (ACD) model of Engle and Russell (1998) to analyze the modeling of trader behavior. As a centralized, computerized, limit order market, the Shenzhen Stock Exchange (SSE) in China is particularly appropriate for studying the interaction between the order book and order flow. I devote to analyze duration models differentiated by information sets. A main finding of the paper is the importance and superiority of information embodied incontinuous individual traders’ actions in characterizing order submission behavior. The book information on characteristics of resting orders alone cannot explain subsequent order submission, trade, or pricing behavior.
Duration Trader Activities ACD Model
屈文洲
清华大学深圳证券交易所
国际会议
昆明
英文
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）