We evaluate the informational content of the open limit order book by studying its role in explaining the volatility of the efficient price. We separate transitory (liquidity-driven) volatility from informational (efficient price-related) volatility using a dynamic state-space co-integration...

In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a sequential ordered probit (SOP) model which allows studying patient and impatient traders' choices...

This paper evaluates the informational content of the open limit order book by studying its role in explaining the volatility of the efficient price. We separate liquidity-driven (transitory) volatility from information-driven (efficient) volatility using a dynamic state-space co-integration...