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Ahn And Cheung-The Intraday Patterns Of The Depth And Spread In A Market Without Market Makers

Ahn And Cheung-The Intraday Patterns Of The Depth And Spread In A Market Without Market Makers
Ahn And Cheung-The Intraday Patterns Of The Depth And Spread In A Market Without Market Makers

Depth And Spread The microstructure of the Saudi Stock Market (SSM) under the new computerized trading system, ESIS, is described, and order and other generated data sets are used toexamine the patterns in the order book, the dynamics of order ¯ow, and the probability of executing limit orders. Although the SSM has a distinct structure, […]

ewpDepth And Spread

The microstructure of the Saudi Stock Market (SSM) under the new computerized trading system, ESIS, is described, and order and other generated data sets are used toexamine the patterns in the order book, the dynamics of order ¯ow, and the probability of executing limit orders. Although the SSM has a distinct structure, its intraday patternsare surprisingly similar to those found in other markets with di€erent structures. We ®nd that liquidity, as commonly measured by width and depth, is relatively low onthe SSM. However, liquidity is exceptionally high when measured by immediacy. Limit orders that are priced reasonably, on average, have a short duration before being executed,and have a high probability of subsequent execution. 2000 Elsevier ScienceB.V. All rights reserved

Depth And Spread
 

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File Type: PDF

Pages:35

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  • عنوان مقاله : ...Ahn And Cheung-The Intraday Patterns Of The
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