The Information Content of Quotes in High Frequency Order Driven Markets
32 Pages Posted: 2 Apr 2019
Date Written: March 8, 2019
This paper investigates the information content present in the quotes in an order driven market without the presence of designated market makers. A representation is proposed that recognises the ability of participants in such markets to observe market events and calibrate their quoting activity. The public signal of the asset price formed after a general consensus among participants is seen to be a part of the price system. Information aggregates into the public signal with a low frequency to negate microstructure and trading effects.
Keywords: Information Content of Quotes, Information Aggregation, Continuous Double Auctions, High Frequency, Order Driven Markets
JEL Classification: G14, G12, G15
Suggested Citation: Suggested Citation