الكتاب 11 (انجلش) ..........كتاب عايز دماغ عالية احترافى .....................وده abstract بتاعه Abstract
Screen Information, Trader Activity, and Bid-Ask Spreads
in a Limit Order Market
A key focus of empirical work on limit order markets is the relative importance of
individual pieces of information in characterizing order submission and trade
execution. We enlarge this focus to include an examination of pricing behavior, using
data on index futures trading in a pure electronic limit order book market. A
theoretical link between order, trade, and cancellation arrival rates, and the
distribution of bid-ask spreads is empirically implemented. Evaluation of models
across different information sets is based on relative ability to predict market activity
and pricing out-of-sample. A main finding of the paper is the importance and
superiority of information embodied in continuous individual traders’ actions in
characterizing order submission behavior and the structure of pricing. The book
information on chararcteristics of resting orders alone cannot explain subsequent
order submission, trade, or pricing behavior, and has little impact on the shape of the
spread distribution.
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