Measuring the summary informativeness of orders and trades

Chng, Michael T. 2005, Measuring the summary informativeness of orders and trades, Review of futures markets, vol. 14, no. 2, Fall, pp. 245-281.

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Title Measuring the summary informativeness of orders and trades
Author(s) Chng, Michael T.
Journal name Review of futures markets
Volume number 14
Issue number 2
Season Fall
Start page 245
End page 281
Publisher Kent State University
Place of publication Kent, Ohio
Publication date 2005
ISSN 1933-7116
Keyword(s) order size
trade size
price discovery
trading dynamics
Summary Improved preservation of order flow history from the automation of derivative trading platforms suggests that traders are potentially learning from the recent history of both order and trade parameters. Consequently, a model to measure price discovery should encapsulate the dynamic interaction between the price-size coordinates of orders and trades. The Hasbrouck (1991) model is extended to measure the summary informativeness of order size and trade size. The two models are used to test for price discovery improvements in the FTSE 100 index futures market from order flow consolidation post deletion of its E-mini counterpart. The informativeness of trades has declined sharply, while the informativeness of orders has risen significantly in the post deletion sample.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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