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Title: High Frequency Markets Analysis from Order Flows and Interactions
Authors: Oasis, Philip
Advisors: Carmona, RenĂª
Department: Operations Research and Financial Engineering
Class Year: 2013
Abstract: We investigate various sources of order flow on Nasdaq and NYSE, attempting to gain a better understanding of their interaction. Using highly granular exchange message data for ten symbols through two trading weeks in March 2013, we attempt to understand how executions of visible and hidden limit orders affect the provision of liquidity in the market. Such an understanding would form the first step of a bottom-up estimation of the market impact of trading, in which the price reaction to a large order traded over time could be predicted from the size and timing of the individual trades used to fill the order. This paper characterizes the size and price distributions of various order types, the distributional interaction between quotes and market orders, and the autocorrelation of order ows. Through investigation of the quote book after individual executions of visible orders, the analysis fails to uncover evidence of post-trade liquidity recovery in the short or medium term. Finally, it is shown that iceberg order executions tend to stabilize prices relative to comparable executions of visible orders, and that fully hidden orders tend to generate a near- immediate but brief flurry of limit orders placed inside of the best bid and offer.
Extent: 161 pages
Access Restrictions: Walk-in Access. This thesis can only be viewed on computer terminals at the Mudd Manuscript Library.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2017

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