Title :
Revealing Intraday Market Efficiency -- Estimating Diurnal Price Densities in Limit Order Books
Author :
Jiang, Jian ; Ng, Wing Lon
Author_Institution :
Centre for Comput. Finance & Economic Agents, Univ. of Essex, Colchester, UK
Abstract :
Liquidity plays an important role in trading and represents a nontrivial economic concept that is difficult to measure as it involves several three dimensions to investigate. In this paper, we explore the liquidity in electronic markets by estimating a time-varying gamma distribution of volume adjusted prices for both bid and ask side of in the order book. Applying this framework on London Stock Exchange SETS order books during the continuous trading hours, we found a seasonal behaviour for the distribution parameters, implying a certain periodic intraday pattern of the market´s liquidity and, hence, its efficiency.
Keywords :
economics; gamma distribution; pricing; stock markets; diurnal price density; economics; electronic markets; intraday market efficiency; market liquidity; order book; periodic intraday pattern; time-varying gamma distribution; trading; volume adjusted prices; Books; Consumer electronics; Costs; Density measurement; Finance; Frequency; Microstructure; Real time systems; Stock markets; Gamma distribution; Ultra high frequency transaction data; information distribution; limit order book; price density;
Conference_Titel :
Information and Financial Engineering, 2009. ICIFE 2009. International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-0-7695-3606-4
DOI :
10.1109/ICIFE.2009.27
