Regularities and Irregularities in Order Flow Data

10 Pages Posted: 15 Feb 2017

See all articles by Martin Theissen

Martin Theissen

Faculty of Physics

Sebastian Krause

University of Duisburg-Essen

Thomas Guhr

University of Duisburg-Essen

Date Written: February 14, 2017

Abstract

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.

Keywords: Financial Markets, Order Book, Market Microstructure

JEL Classification: G10

Suggested Citation

Theissen, Martin and Krause, Sebastian and Guhr, Thomas, Regularities and Irregularities in Order Flow Data (February 14, 2017). Available at SSRN: https://ssrn.com/abstract=2916763 or http://dx.doi.org/10.2139/ssrn.2916763

Martin Theissen

Faculty of Physics ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Sebastian Krause (Contact Author)

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Thomas Guhr

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

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