The information content of an open limit‐order book

By Charles Cao, Oliver Hansch, Xiaoxin Wang. 2009

152 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f1b9a8c5b64c3577944a0b6f66a13da956d6e6cd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. C. D’Hondt
2. Christine A. Parlour
3. Duane J. Seppi

In Economics and Econometrics

1. Duane J. Seppi
2. Benoît Detollenaere
3. C. D’Hondt
4. Christine A. Parlour
5. Albert J. Menkveld
6. Terrence Hendershott

In Finance

1. Duane J. Seppi
2. Christine A. Parlour
3. Albert J. Menkveld
4. Terrence Hendershott

Citations in the corpus

• Identifying Expensive Trades by Monitoring the Limit Order Book (2017, background): “For example, Cao et al. (2009) report an effect of the limit order book imbalance on returns that does not exceed 5 minutes.”
• A High Frequency Trade Execution Model for Supervised Learning (2017, unknown): “In particular, Cao et al. (2009) study the information content of a limit-order book from the Australian Stock Exchange.”
• Limit Order Markets: A Survey 1 (2008, background): “…investors will arrive in the future affects the trades to which rational investors agree 6See Griffiths et al. (2000) for the Toronto Stock Exchange, Ranaldo (2004) for the Swiss Stock Exchange, Cao, Hansch, and Wang (2004) for the Australian Stock Exchange, and related research discussed below.”