Home
Charts
Feeds
Download
Resources
Help
Subscriptions
RSS RSS

Wiki Navigation

Wiki Home Page

Page Index
Categories
Navigation Paths


Search the wiki
»

Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?

RSS
Modified on 2011/08/13 23:26 by Administrator Categorized as Articles

Hellström, Jörgen, Simonsen, Ola

This paper empirically tests whether an open limit order book contains information about future short-run stock price movements. To account for the discrete nature of price changes, the integer-valued autoregressive model of order one is utilized. A model transformation has an advantage over conventional count data approaches since it handles negative integer-valued price changes. The empirical results reveal that measures capturing offered quantities of a share at the best bid- and ask-price reveal more information about future short-run price movements than measures capturing the quantities offered at prices below and above. Imbalance and changes in offered quantities at prices below and above the best bid- and ask-price do, however, have a small and significant effect on future price changes. The results also indicate that the value of order book information is short-term.

Published by repec.org on 8/24/2006

Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?