Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230727
Authors: 
Härdle, Wolfgang Karl
Chen, Shi
Liang, Chong
Schienle, Melanie
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-016
Abstract: 
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.
Subjects: 
limit order book
high dimension
generalized impulse response
high frequency
market risk
market impact
network
bootstrap
JEL: 
C02
C13
C22
C45
G12
Document Type: 
Working Paper

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