(DOWNLOAD) "Is There a Link Between Quote Competition and Order Flows?(Report)" by International Journal of Business # Book PDF Kindle ePub Free
eBook details
- Title: Is There a Link Between Quote Competition and Order Flows?(Report)
- Author : International Journal of Business
- Release Date : January 22, 2007
- Genre: Industries & Professions,Books,Business & Personal Finance,
- Pages : * pages
- Size : 299 KB
Description
ABSTRACT This paper investigates the link between the quotes made by market makers and the order flows they receive. Using data from the London Stock Exchange, it is shown that quotes and trades are closely related despite the heavy presence of preferenced orders. Specifically, market makers receive relatively more buy (sell) orders when they change the quotes by posting only the best ask (bid) price or when they stop posting the best bid (ask), and they receive balanced orders when they post the best quotes or neither. Moreover, the fewer market makers there are that post the best quotes, the more unbalanced the orders will be that each one receives. The link between quote and trades is most pronounced in trades of medium or large sizes.
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