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The Next Tick on Nasdaq: Does Level II Information Matter?

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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?