Earticle

초록

영어

We test the eect of order book events at the best quotes on price change with the model proposed by Cont, Kukanov and Stoikov (2012). The OFI (Order Flow Imbalance) measure in the model could reasonably explain the price change of the nearby KOSPI 200 futures contract, which is one of the most liquid exchange traded securities in the world. The model gets to t less accurate when the sampling time interval become shorter; the adjusted R2 of the model drops down to 40% for the time interval of 1 second from around 70% for the cases with time interval longer than 1 minute. We postulate that this is related to the lead-lag eects between the OFI measure and price change for shorter time intervals . We use the vector auto-regressive model to verify this conjecture, which is supported by the empirical evidence. The result in the paper suggests that it is necessary to know the dynamic structure of limit order book for better understanding of high frequency price movement in a nancial market.

목차

Abstract
 1. Introduction
 2. The Price Impact Model and Data
  2.1. The CKS Model
  2.2. Data
 3. The Regression Analysis
 4. The Order Book Dynamics and the CKS Model
  4.1. The Response Time Eect
  4.2. The Lead-Lag Eect
 5. Conclusion
 Appendix
 References

키워드

저자

• ChongSeok Hyun [ Graduate Department of Financial Engineering, Ajou University ]
• Jeongsook Park [ Graduate Department of Financial Engineering, Ajou University ]
• Kiseop Lee [ Department of Mathematics, University of Louisville, Louisville, KY 40292, USA ] Corresponding author

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• 간행물명

  한국재무학회 학술대회

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• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330