Quantifying the efficiency of the Xetra LOB market: a detailed recipe
- Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains from trade to the Xetra LOB market at the Frankfurt Stock Exchange (FSE) in order to evaluate its performance in this respect. Therefore this paper looks deeply into HMSS’s base model and provides a structured recipe for the planned implementation with Xetra LOB data. The contribution of this paper lies in the modification of HMSS’s methodology with respect to the particularities of the Xetra trading system that are not yet considered in HMSS’s base model. The necessary modifications, as expressed in terms of empirical caveats, are substantial to derive unbiased market efficiency measures for Xetra in the end.
| Author: | Miriam Sperl |
|---|---|
| URN: | urn:nbn:de:hebis:30-56941 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,21 |
| Series (Serial Number): | CFS working paper series (2008, 21) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2008 |
| Year of first Publication: | 2008 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2008/08/08 |
| Tag: | Gains from Trade; Limit Order Book Market; Xetra |
| GND Keyword: | Deutsche Börse; Xetra-Handelssystem |
| HeBIS-PPN: | 202947440 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
