The Information Content of Quotes in High Frequency Order Driven Markets

32 Pages Posted: 2 Apr 2019

Date Written: March 8, 2019

Abstract

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

Pani, Sudhanshu Sekhar, The Information Content of Quotes in High Frequency Order Driven Markets (March 8, 2019). Available at SSRN: https://ssrn.com/abstract=3349595 or http://dx.doi.org/10.2139/ssrn.3349595

Sudhanshu Sekhar Pani (Contact Author)

School of Business Management, NMIMS ( email )

V. L. Mehta Road,
Vile Parle (W),
Mumbai, 400 056
India

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
33
Abstract Views
336
PlumX Metrics