Project: Externally funded project

Project Details


Market microstructure models in the genre of Easley et al. are studied in order to examine the extent to which empirically observed autocorrelation in order-flow data is the consequence of “true” state dependence rather than “spurious” state dependence due to heterogeneity. Models with pure heterogeneity are contrasted with models containing both heterogeneity and state dependence. The models were tested on order-flow data from the automated Limit Order Book on the Helsinki Stock Exchange. Models including both heterogeneity and state dependence were found to give the best fit and it also became clear that the state dependence cannot be compensated for by increasing the heterogeneity of the information structure. The study also adds credibility to this modelling strategy and throws light on both the information structure and the amount of informed trading across firms.
Effective start/end date01.01.199531.12.2002

Research Output

  • 1 Commissioned report
  • 1 Article

Do Buyers and Sellers Behave Similarly in a Limit Order Book? A High-Frequency Data Examination of the Finnish Stock Exchange

Hedvall, K., Niemeyer, J. & Rosenqvist, G., 1997, In : Journal of Empirical Finance. 4, 2-3, p. 279-293 15 p.

Research output: Contribution to journalArticleScientificpeer-review

20 Citations (Scopus)

Heterogeneity and State Dependence in Modelling Order Flow Dynamics

Hedvall, K. & Rosenqvist, G., 1997, Helsinki: Hanken School of Economics. 28 p. (Working Papers; no. 359)

Research output: Book/ReportCommissioned reportProfessional