Does the Open Limit Order Book Matter in Explaining Informational Volatility?
利用动态状态空间协整模型分离买卖报价中的暂时性和信息性波动，发现限价订单簿中的往返成本、报价深度和订单簿不平衡等信息有助于解释信息波动性。
We evaluate the informational content of the open limit order book by studying its role in explaining the volatility of the efficient price. We separate transitory (liquidity-driven) volatility from informational (efficient price-related) volatility using a dynamic state-space co-integration model for ask and bid quotes. Consistently with Foucault, Moinas, and Theissen (2007, Review of Financial Studies), we show that for any given trade size, the higher the round-trip costs, the higher the ex post informational volatility. Other pieces of the LOB, such as quoted depth, both at and away from the best quotes, and the book imbalance, are also informative.