TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Huang, Ruihong
T1  - The market impact of a limit order
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2009,23
N2  - Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid quotes and several levels of order book depth. Price impacts are estimated by means of appropriate impulse response functions. Analyzing order book data of 30 stocks traded at Euronext Amsterdam, we show that limit orders have significant market impacts and cause a dynamic (and typically asymmetric) rebalancing of the book. The strength and direction of quote and spread responses depend on the incoming orders’ aggressiveness, their size and the state of the book. We show that the effects are qualitatively quite stable across the market. Cross-sectional variations in the magnitudes of price impacts are well explained by the underlying trading frequency and relative tick size.
T3  - CFS working paper series - 2009, 23 
KW  - Price Impact
KW  - Limit Order
KW  - Impulse Response Function
KW  - Cointegration
Y1  - 2009
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7289
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-72720
ER  -