The Next Tick on Nasdaq: Does Level II Information Matter?
Modified on 2011/08/13 23:31 by Administrator — Categorized as: Articles
Bruce Mizrach
¶
The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual market makers and electronic networks and find evidence of strategic behavior. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.
Published by
ssrn.org
on
4/1/2006
The Next Tick on Nasdaq: Does Level II Information Matter?