A Correlation Analysis of Order Aggressiveness
32 Pages Posted: 9 Jun 2017
Date Written: June 27, 2006
We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness on one side affects the aggressiveness on both sides of trading. Besides, we provide further evidence of intraday effects in orders and trades.
Keywords: order aggressiveness, limit order book, intraday, mimesis, contrarian, high-frequency data, microstructure
JEL Classification: G10, G14, G15, G02
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