Electronic Limit Order Book and Order Submission Choice Around Macroeconomic News

37 Pages Posted: 12 Feb 2007 Last revised: 3 Jun 2009

See all articles by Grigori Erenburg

Grigori Erenburg

University of Western Ontario - King's University College

Dennis Lasser

State University of New York (SUNY) at Binghamton - School of Management

Date Written: April 22, 2009

Abstract

We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity index-linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as three minutes before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre-market hours relative to regular trading hours.

Keywords: Macroeconomic announcements, Microstructure, Limit order book, Order aggressiveness

JEL Classification: D81, E44, G10, G14

Suggested Citation

Erenburg, Grigori and Lasser, Dennis, Electronic Limit Order Book and Order Submission Choice Around Macroeconomic News (April 22, 2009). Available at SSRN: https://ssrn.com/abstract=962255 or http://dx.doi.org/10.2139/ssrn.962255

Grigori Erenburg (Contact Author)

University of Western Ontario - King's University College ( email )

266 Epworth Avenue
London, Ontario N6A 2M3
Canada

Dennis Lasser

State University of New York (SUNY) at Binghamton - School of Management ( email )

Vestal Parkway East
Binghamton, NY 13902-6015
United States
607-777-4874 (Phone)

Do you want regular updates from SSRN on Twitter?

Paper statistics

Downloads
229
Abstract Views
1,297
rank
182,586
PlumX Metrics