What drives the sensitivity of limit order books to company announcement arrivals?

DOI10.1016/J.ECONLET.2017.07.018MaRDI QIDQ1782389zbMATH OpenOpenAlexFDO

Authors Milla Siikanen, Juho Kanniainen, Arto Luoma

Publication date 20 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.07.018

zbMATH Keywords

limit order bookhigh-frequency dataliquiditycompany announcement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Resiliency of the limit order book
• The market impact of a limit order
• Limit-order book resiliency after effective market orders: spread, depth and intensity
• Latency and liquidity provision in a limit order book
• Volume, volatility, and public news announcements

Cites work

• Reduced form modeling of limit order markets

Cited in

(1)

• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data

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