Capturing order book dynamics in the interbank EUR/PLN spot market

• Autores: Katarzyna Bien-Barkowska
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 50, Nº. 1, 2014, págs. 93-117
• Idioma: inglés
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• Resumen

  • In this paper, I examine order submissions and cancellations in the Reuters Dealing 3000 Spot Matching System, the main order-driven market for interbank trading of the euro/zloty (EUR/PLN) currency pair. I generalize the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) with respect to more than two competing risks. With the new multistate AACD model, I examine the timing of different order submissions and cancellations that take place on different sides of the market and vary according to their level of aggressiveness. I investigate different liquidity or information-oriented factors that exert an influence on the dynamics of the limit order book.