Härdle, Wolfgang Karl Chen, Shi Liang, Chong Schienle, Melanie
Year of Publication:
IRTG 1792 Discussion Paper No. 2018-016
This paper analyzes the market impact of limit order books (LOB) taking crossstock effects into account. Based on penalized vector autoregressive approach, we aim to identify significance and magnitude of the directed network channels within and between LOBs by bootstrapped impulse response functions. Moreover, information on asymmetries and imbalances within the LOB over time would be derived. For the sample of a NASDAQ blue-chip portfolio during 06-07/2016 we find that LOB network effects crucially determine prices and bid-ask asymmetries are prevalent.
limit order book high dimension generalized impulse response high frequency market risk market impact network bootstrap