Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230727 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-016
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
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.
Schlagwörter: 
limit order book
high dimension
generalized impulse response
high frequency
market risk
market impact
network
bootstrap
JEL: 
C02
C13
C22
C45
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
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