The next tick on Nasdaq

  • Mizrach B
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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

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Authors

  • Bruce Mizrach

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