Market Depth and Order Size

Kempf, Alexander ; Korn, Olaf

Document Type: Working paper
Year of publication: 1997
The title of a journal, publication series: Working Paper / Lehrstuhl für Finanzierung, Universität Mannheim
Volume: 97-05
Place of publication: Mannheim
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Bühler 1990-2009, 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.
Additional information: Auch als ZEW Discussion Paper ; 98-10

Dieser Eintrag ist Teil der Universitätsbibliographie.

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