This study examines the relation between individual investor trading and future stock returns in the Australian equity market. We find that the net trading of Australian individual investors is positively related to future returns. We show that this association is driven by individual investors...

This paper investigates the information content of the limit order book on future volatility in the crude oil futures market. We propose a time-weighted limit order book slope that incorporates the duration of each bid and ask update. When volatility is expected to increase around weekly...

This chapter investigates the influence of improved pre-trade transparency on the information content of the limit order book. Data from two natural experiments are examined: when the Sydney Futures Exchange increased the limit order book disclosure from the best bid and ask level to the best...