Time-varying Limit Order Book Networks

Arbeitspapier

This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances within the LOB over time would be derived. For the sample of a NASDAQ blue-chip portfolio during 06-07/2016 we find that LOB network effects crucially determine prices and bid-ask asymmetries are prevalent.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRTG 1792 Discussion Paper ; No. 2018-016

Classification and Topics

• Classification: Wirtschaft ; Mathematical Methods ; Estimation: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Neural Networks and Related Topics ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: limit order book ; high dimension ; generalized impulse response ; high frequency ; market risk ; market impact ; network ; bootstrap

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Härdle, Wolfgang Karl ; Chen, Shi ; Liang, Chong ; Schienle, Melanie
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (where): Berlin
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/230727
• Last update: 10.03.2025, 11:42 AM CET