Bid- and ask-side liquidity in the NYSE limit order book

Cenesizoglu Tolga; Grass Gunnar

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Bid- and ask-side liquidity in the NYSE limit order book

机译：纽约证交所限价指令簿中的买方和卖方流动性

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We disentangle bid- and ask-side liquidity using 11 years of comprehensive New York Stock Exchange limit order book data to document several empirical facts improving our understanding of the determinants, commonality, and pricing of liquidity. First, the ask but not bid-side liquidity of financial stocks deteriorates during the 2008 short-selling ban. Second, ask- (bid-)side liquidity increases (decreases) in lagged short- and long-term returns. Third, liquidity commonality increases during the financial crisis, more so on the bid- than on the ask-side. Finally, ask- but not bid-side illiquidity predicts daily returns, while both forecast monthly returns. (C) 2018 Elsevier B.V. All rights reserved.

机译：我们使用11年的纽约证券交易所全面的限价定单数据来分解买卖双方的流动性，以记录一些经验性事实，从而提高我们对决定性，共同性和流动性定价的理解。首先，在2008年的卖空禁令期间，金融股票的要约但不是买方向的流动性恶化了。其次，卖出（卖出）边的流动性增加（减少）了短期和长期收益。第三，在金融危机期间，流动性的共同性增加，在买入方而不是在卖方方面更多。最后，要价方（而非投标方）的流动性预测日收益，而两者均预测月收益。（C）2018 Elsevier B.V.保留所有权利。

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来源
《Journal of Financial Markets》 |2018年第3期|14-38|共25页
作者
Cenesizoglu Tolga; Grass Gunnar;
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作者单位

Booth St E, Manchester M13 9SS, Lancs, England;

HEC Montreal, 3000 Ch Cote St Catherine, Montreal, PQ H3T 2A7, Canada;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Market liquidity; Limit order book; Financial crisis; Short selling ban; Market microstructure; Asset pricing;

机译：市场流动性;限价单;金融危机;卖空禁令;市场微观结构;资产定价;

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1. Distilling liquidity costs from limit order books [J] . Amaya Diego, Filbien Jean-Yves, Okou Cedric, Journal of banking & finance . 2018,第SEPa期

机译：从限价单中提取流动资金成本
2. Intraday liquidity patterns in limit order books [J] . Azeem Malik, Wing Lon Ng Studies in economics and finance . 2014,第1期

机译：限价订单簿中的日内流动性模式
3. Estimation of level-I hidden liquidity using the dynamics of limit order-book [J] . Physica, A. Statistical mechanics and its applications . 2020,第期

机译：利用限制令书的动态估计水平隐藏的流动性
4. Limit Order Book and Commonality in Liquidity [C] . Wenjin Kang, Huiping Zhang 2008 China international conference in finance . 2008

机译：限价单和流动性的共同点
5. An empirical study of a no-arbitrage liquidity model in financial markets where limit order books are modeled by a Brownian sheet [D] . Hoang, Thanh 2013

机译：对金融市场中无套利流动性模型的实证研究，其中限价订单簿是由布朗表建模的
6. Do Liquidity Proxies Based on Daily Prices and Quotes Really Measure Liquidity? [O] . Barbara Będowska-Sójka, Krzysztof Echaust 2020

机译：根据日常价格和报价进行流动性代理真正衡量流动性吗？
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Bid- and ask-side liquidity in the NYSE limit order book

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