Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79161
Authors: 
Mizrach, Bruce
Year of Publication: 
2002
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 2002,02
Abstract: 
The Nasdaq stock market provides information about buying and selling interest in what is called the Level II display. Using a bivariate VAR model of trades and quotes, I assess the effect of Level II prices and depths on short-run quote dynamics. I also determine the influence of individual market makers and electronic networks and find evidence of strategic behavior. Finally, I produce a set of dynamic market price responses to buy and sell orders, and I find that these estimates vary with standard measures of liquidity.
Subjects: 
Level II
microstructure
Nasdaq
tick
JEL: 
G14
Document Type: 
Working Paper

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