Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

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
Additional contact information
Kaj Hedvall: Department of Finance, Postal: Swedish School of Economics and Business Administration, P.O. Box 479, FIN-00101 Helsinki, FINLAND
Jonas Niemeyer: Department of Financial Stability, Postal: Sveriges Riksbank, SE- 103 37 Stockholm, SWEDEN
Gunnar Rosenqvist: Department of Statistics and Computer Science, Postal: Swedish School of Economics and Business Administration, P.O. Box 479, FIN-00101 Helsinki, FINLAND

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

JEL-codes: C25; G14; G15

23 pages, February 1997

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