An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
以巴黎证券交易所为对象，实证分析限价订单簿与订单流的互动关系，发现订单流集中在报价附近，薄订单簿吸引订单而厚订单簿促成交易，投资者为获得价格和时间优先权会在价差大时快速下单。
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases).