A Correlation Analysis of Order Aggressiveness

32 Pages Posted: 9 Jun 2017

See all articles by Cumhur Ekinci

Cumhur Ekinci

Istanbul Technical University

Date Written: June 27, 2006

Abstract

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

Suggested Citation

Ekinci, Cumhur, A Correlation Analysis of Order Aggressiveness (June 27, 2006). Available at SSRN: https://ssrn.com/abstract=2983834 or http://dx.doi.org/10.2139/ssrn.2983834

Cumhur Ekinci (Contact Author)

Istanbul Technical University ( email )

ITU Isletme Fakultesi - Macka
Istanbul, 34367
Turkey

HOME PAGE: http://akademi.itu.edu.tr/ekincicu/

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