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An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
Abstract
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases).
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Cited by
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BEN‐DAVID, I., FRANZONI, F., & MOUSSAWI, R. (2018) · The Journal of Finance · doi:10.1111/jofi.12727 · Cited by 678
Price Dynamics in Limit Order Markets
Parlour, C. A. (1998) · Review of Financial Studies · doi:10.1093/rfs/11.4.789 · Cited by 594
The “make or take” decision in an electronic market: Evidence on the evolution of liquidity
Bloomfield, R., O’Hara, M., & Saar, G. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.07.001 · Cited by 482
Linnainmaa, J. T. (2003) · doi:10.2139/ssrn.472182 · Cited by 29
Metadata
- Authors
- BIAIS, B., HILLION, P., & SPATT, C.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1995-12
- Volume
- 50
- Issue
- 5
- Pages
- 1655-1689
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2171217792
- Cited by
- 1,149
- References
- 0
- FWCI
- 31.72
- Type
- journal article
- Language
- en
- Open access
- closed
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- BIAIS, B., HILLION, P., & SPATT, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb05192.x
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