Hautsch, Nikolaus; Huang, Ruihong - In: Journal of Economic Dynamics and Control 36 (2012) 4, pp. 501-522
We quantify the short-run and long-run price effect of posting a limit order in an order book market by proposing a high-frequency cointegrated VAR model for quotes and order book depth. Estimating impulse response functions based on data from 30 stocks traded at Euronext Amsterdam we show that...