Time-varying Limit Order Book Networks

This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances within the LOB over time would be derived. For the sample of a NASDAQ blue-chip portfolio during 06-07/2016 we find that LOB network effects crucially determine prices and bid-ask asymmetries are prevalent.

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Year of publication:	2018
Authors:	Härdle, Wolfgang Karl ; Chen, Shi ; Liang, Chong ; Schienle, Melanie
Publisher:	Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Subject:	limit order book \| high dimension \| generalized impulse response \| high frequency \| market risk \| market impact \| network \| bootstrap

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Series:	IRTG 1792 Discussion Paper ; 2018-016
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/230727 [Handle] RePEc:zbw:irtgdp:2018016 [RePEc]
Classification:	C02 - Mathematical Methods ; C13 - Estimation ; C22 - Time-Series Models ; C45 - Neural Networks and Related Topics ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10012433165