À繫¿¬±¸ Á¦ ±Ç È£ (2013³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1894~1913
pp.1894~1913
The Eect of Limit Order Flows At The Best Quotes On Price Change
ChongSeok Hyun Graduate Department of Financial Engineering, Ajou University
Jeongsook Park Graduate Department of Financial Engineering, Ajou University
Kiseop Lee Department of Mathematics, University of Louisville, Louisville, KY 40292, USA
We test the eect of order book events at the best quotes on price change with the model proposed by Cont, Kukanov and Stoikov (2012). The OFI (Order Flow Imbalance) measure in the model could reasonably explain the price change of the nearby KOSPI 200 futures contract, which is one of the most liquid exchange traded securities in the world. The model gets to t less accurate when the sampling time interval become shorter; the adjusted R2 of the model drops down to 40% for the time interval of 1 second from around 70% for the cases with time interval longer than 1 minute. We postulate that this is related to the lead-lag eects between the OFI measure and price change for shorter time intervals . We use the vector auto-regressive model to verify this conjecture, which is supported by the empirical evidence. The result in the paper suggests that it is necessary to know the dynamic structure of limit order book for better understanding of high frequency price movement in a nancial market.
ChongSeok Hyun
Jeongsook Park
Kiseop Lee
We test the eect of order book events at the best quotes on price change with the model proposed by Cont, Kukanov and Stoikov (2012). The OFI (Order Flow Imbalance) measure in the model could reasonably explain the price change of the nearby KOSPI 200 futures contract, which is one of the most liquid exchange traded securities in the world. The model gets to t less accurate when the sampling time interval become shorter; the adjusted R2 of the model drops down to 40% for the time interval of 1 second from around 70% for the cases with time interval longer than 1 minute. We postulate that this is related to the lead-lag eects between the OFI measure and price change for shorter time intervals . We use the vector auto-regressive model to verify this conjecture, which is supported by the empirical evidence. The result in the paper suggests that it is necessary to know the dynamic structure of limit order book for better understanding of high frequency price movement in a nancial market.
Granger causality,KRDS (Korea Research Data Services),order flow imbalance,limit order book event,price impact
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