The information content of the limit order book: evidence from NYSE specialist trading decisions ☆

By Lawrence E. Harris, Venkatesh Panchapagesan. 2005

183 citations recorded by the source corpus.

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Statistical Modeling of High-Frequency Financial Data (2011, background): “Not surprisingly, empirical studies [21, 35] show that the state of the order book contains information on short-term price movements so it is of interest to provide forecasts of various quantities conditional on the state of the order book.”
Price Dynamics in a Markovian Limit Order Market (2011, background): “While most of these studies have focused on unconditional/steady–state distributions of various features of the order book, empirical studies ( Harris and Panchapagesan (2005), Cont et al. (2010a)) show that the state of the order book contains information on short-term price movements so it is of…”
Micro-price trading in an order-driven market (2014, background): “The informational content of the order book has been studied extensively [30], [31].”
High-Frequency Market Making to Large Institutional Trades (2018, unknown): “…in the shares being bid and offered on the limit-order book can also provide useful information about future prices and large institutional orders (Harris and Panchapagesan 2005), especially in light of the evidence in Table 2 that 43% of institutional share volume is executed using standing…”