Charles Cao, Oliver Hansch and Xiaoxin Wang¶
Using order book information from the Australian Stock Exchange, we examine whether (and to what extent) the order book affects investors’ order placement strategies. We find that the top of the book always affects order submissions, cancellations and amendments, while the rest of the book mostly contributes to the decision of order cancellations and amendments. The previously documented order submission aggressiveness, given a crowded first step of the book, persists over to other price steps, and is also found in order amendments and cancellations along the book. Finally, investors tend to fill in the large price gaps in the book by submitting or amending orders.
Published by The Pennsylvania State University
on 1/1/2008Order Placement Strategies in a Pure Limit Order Book Market