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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 160:
Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Kaj Hedvall (), Jonas Niemeyer () and Gunnar Rosenqvist

Abstract: The symmetry of an electronic limit order book is studied using high-frequency data. Is the order flow generated by buyers of the same structure as the one by sellers or would factors such as short selling restrictions and information trading result in asymmetries in the order flow? A model expressing symmetry of a limit order book is developed and tested within a log.-linear Poisson regression framework. Although the orderflow was found to be quite symmetric in general, clear asymmetries were identified for various trade categories suggesting differences between the order submission of buyers and sellers using a limit order book.

Keywords: Market microstructure; limit order book; log-linear Poisson regression; quasi symmetry; (follow links to similar papers)

JEL-Codes: C25; G14; G15; (follow links to similar papers)

23 pages, February 1997

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This paper is published as:
Hedvall, Kaj, Jonas Niemeyer and Gunnar Rosenqvist, (1997), 'Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange', Journal of Empirical Finance, Vol. 4, pages 279-293



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