The next tick on Nasdaq

  • Mizrach B
  • 15

    Readers

    Mendeley users who have this article in their library.
  • 3

    Citations

    Citations of this article.

Abstract

The Nasdaq stock market provides information about buying and selling interest in its limit order book. Using a vector autoregressive model of trades and returns, I assess the effect of the entire order book on the next tick. I also determine the influence of individual market makers and electronic networks and find evidence that the identity of market participants can be useful information. 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.

Author-supplied keywords

  • Derivatives securities
  • Financial time series
  • Market microstructure
  • Structure of financial markets

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

Authors

  • Bruce Mizrach

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free