LOBSTER logo

academic
data.

LOBSTER: high-frequency, easy-to-use and latest limit order book data for your research.


learn more.



partner.


Logo of NASDAQ, Inc. Logo of University Vienna



blog.

Optimal order display in limit order markets with liquidity competition | May 28, 2017

 and Ulrich Horst of Universität Wien and Humboldt-Universität zu Berlin published and Article in Journal of Economic Dynamics and Control (April 2015)  with the titel Optimal order display in limit order markets with liquidity competition using LOBSTER data. Abstract:
Order display is associated with benefits and costs. Benefits arise from increased execution-priority, while costs are due to adverse market impact. We analyze a structural model of optimal order placement that captures trade-off between the costs and benefits of order display. For a benchmark model of pure liquidity competition, we give a closed-form solution for optimal display sizes. We show that competition in liquidity supply incentivizes the use of hidden orders to prevent losses due to over-bidding. Thus, because aggressive liquidity competition is more prevalent in liquid stocks, our model predicts that the proportion of hidden liquidity is higher in liquid markets. Our theoretical considerations ares supported by an empirical analysis using high-frequency order-message data from NASDAQ. We find that there are no benefits in hiding orders in il-liquid stocks, whereas the performance gains can be significant in liquid stocks.

 

https://doi.org/10.1016/j.jedc.2015.05.004

go to blog.

Latency and Liquidity Provision in a Limit Order Book | April 18, 2017

 

Julius Bonart and Martin Gould  of Imperial College London published an Article in Quantitative Finance (April 2017) using LOBSTER data titled Latency and Liquidity Provision in a Limit Order Book. Abstract:

 We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of distinct phases across which the net flow of orders differs considerably. We note some of our results are consist with the widely reported phenomenon of stimulated refill, but that others are not. We therefore propose alternative mechanical and strategic motivations for the behaviour that we observe. Based on our findings, we argue that strategic liquidity providers consider both adverse selection and expected waiting costs when deciding how to act.

http://dx.doi.org/10.1080/14697688.2017.1296177

Read the working paper version here.

go to blog.

Conference: VieCo 2017, Vienna. | February 13, 2017

VieCo 2017 aims to bring together leading experts and practitioners in financial econometrics, financial statistics, quantitative financial economics as well as applied mathematical finance. It is jointly organized by the Department of Statistics and Operations Research of the University of Vienna, in cooperation with the Wolfgang Pauli Institute Vienna and the Department of Economics of the University of Copenhagen. The “Vienna–Copenhagen Conference on Financial Econometrics” will take place on March 9-11 2017 in Vienna.

LOBSTER will be present at the conference, if you like to get in touch please come to our desk during the poster session on friday or send an email to get in touch.

go to blog.

subscribe to our mailing list.