The Next Tick on NASDAQ: Does Level Ii Information Matter?

46 Pages Posted: 9 Sep 2002

See all articles by Bruce Mizrach

Bruce Mizrach

Rutgers University, Department of Economics

Date Written: April 2006

Abstract

The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual market makers and electronic networks and find evidence of strategic behavior. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.

Keywords: Nasdaq, Level II, microstructure, tick

JEL Classification: G14

Suggested Citation

Mizrach, Bruce, The Next Tick on NASDAQ: Does Level Ii Information Matter? (April 2006). Available at SSRN: https://ssrn.com/abstract=312159 or http://dx.doi.org/10.2139/ssrn.312159

Bruce Mizrach (Contact Author)

Rutgers University, Department of Economics ( email )

75 Hamilton Street
New Brunswick, NJ 08901
United States
(848) 932-8636 (Phone)
(732) 932-7416 (Fax)

HOME PAGE: http://snde.rutgers.edu/

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