Order Submission Strategies and Information: Empirical Evidence from the NYSE

EFA 2003 Annual Conference Paper No. 875

FAME Research Paper No. 146

57 Pages Posted: 6 Aug 2003

See all articles by Alessandro Beber

Alessandro Beber

Cass Business School; Centre for Economic Policy Research (CEPR)

Cecilia Caglio

Board of Governors of the Federal Reserve System

Date Written: June 2005

Abstract

We investigate the role of asymmetric information in affecting order submission strategies. In general, order aggressiveness depends on the state of the order book and on the asset dynamics. We find that the most important determinants are the depth on the same side of the book and a momentum indicator. When we focus on specific situations characterized by higher probability of information-based trading, we find that orders are less aggressive, suggesting strategic behavior of informed traders. This conjecture is supported by a different response to changes in some of their information set's variables.

Keywords: Order Aggressiveness, Informed Trading, Order Flow

Suggested Citation

Beber, Alessandro and Caglio, Cecilia, Order Submission Strategies and Information: Empirical Evidence from the NYSE (June 2005). EFA 2003 Annual Conference Paper No. 875, FAME Research Paper No. 146, Available at SSRN: https://ssrn.com/abstract=424922 or http://dx.doi.org/10.2139/ssrn.424922

Alessandro Beber

Cass Business School ( email )

London, EC2Y 8HB
Great Britain

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Cecilia Caglio (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States