Market Depth and Order Size


Kempf, Alexander ; Korn, Olaf


URL: http://dx.doi.org/10.1016/S1386-4181(98)00007-X
Document Type: Article
Year of publication: 1999
The title of a journal, publication series: Journal of Financial Markets
Volume: 2
Issue number: 1
Page range: 29-48
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 1386-4181
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Bühler Em)
Subject: 330 Economics
Abstract: In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact of orders on prices (which is often used in theoretical papers) is highly questionable. Therefore, empirical studies, comparing the depth of different markets, should be based on the whole price impact function instead of a simple ratio.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Kempf, Alexander ; Korn, Olaf (1999) Market Depth and Order Size. Journal of Financial Markets Amsterdam [u.a.] 2 1 29-48 [Article]


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