We use Hasbrouck's (1991) vector autoregressive model for prices and trades to empirically test and assess the role played by the waiting time between consecutive transactions in the process of price formation. We find that as the time duration between transactions decreases, the price impact of...

A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....

The characteristics of the order flow in limit order markets has been significantly altered since the introduction of Market in Financial Instruments Directive. We revisit issues related to the shape of the limit order book and its information content in a post-MiFID world using message level...

This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...