{"title":"A Correlation Analysis of Order Aggressiveness","authors":"Cumhur Ekinci","doi":"10.2139/ssrn.2983834","DOIUrl":null,"url":null,"abstract":"We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness on \none side affects the aggressiveness on both sides of trading. Besides, we provide further evidence of intraday effects in orders and trades.","PeriodicalId":340563,"journal":{"name":"ERN: Foreign Exchange Order Flows (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2006-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Foreign Exchange Order Flows (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2983834","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We give a new definition of order aggressiveness based jointly on three major concepts: time, price and quantity. Using correlations on an original dataset derived by reconstructing limit order book, we analyze to what level aggressiveness on
one side affects the aggressiveness on both sides of trading. Besides, we provide further evidence of intraday effects in orders and trades.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
