What Is an Order Book?

Investor order submission behavior, order book characteristics, and quantitative trading research are books published by Economic Science Press.

Research on Investor's Order Submission Behavior, Order Book Features and Quantitative Trading

Author: Chen Wei

Publisher: Economic Science Press

ISBN: 9787514115246

Publication date: May 2012

Folio: 16

Page number: 153

Edition: 1-1

The trading mechanism of the securities market can be divided into two types: Quote-driven Market and Order-dnven Market. The quote-driven market relies on market makers to provide liquidity, while the order-driven market relies on limit orders to provide liquidity. The quality and quantity of market information held by investors, the transparency of order books, and the goals of investors' trading requirements all affect investor order submission strategies and behaviors, which in turn affect the composition and changes of order books on the market, and ultimately affect the price discovery process and market quality. "Investor Order Submission Behavior, Order Book Features and Quantitative Trading Research" aims to study the characteristics, distribution, and order submission strategies and behavior of China's stock market limit order books from both theoretical and empirical perspectives, and analyze the order book based on this The impact of transparency, order execution costs (transaction costs), and other important issues related to orders. Finally, the theory and practice of quantitative trading are introduced.

"Investor's Order Submission Behavior, Order Book Features and Quantitative Trading Research"

Chapter 1 Introduction

Chapter 2 Literature Review

Section 1. Theories of investor order submission strategies and behaviors

Empirical Research on Investor Order Submission Strategies and Behaviors

Section 3 Empirical Research on Investor's Order Selection

Section 4 Features and Shapes of Limit Order Books

Section 5 Performance of Limit and Market Orders and Their Impact on the Market

Chapter III Order Types, Order Transmission and Matching

Section 1 Major Order Types

Section II Order Matching and Price Formation

Section 3 China Stock Market Orders Offer System

Section 4 Features and Overview of China's Stock Market Orders

Section 5 Order Processing in the US Stock Market

Section 6 Blackpool Development and Order Processing

Chapter 4: Theories and Empirical Features of Order Book Features in China Stock Market

The first section empirical analysis of the characteristics and shape of the order book of the Chinese stock market

Section 2 Empirical Analysis of Limit Order Model in China Stock Market

Chapter 5 An Empirical Study of Investor Order Submission Strategies

Section 1 Literature Review

Section 2 Research Hypothesis

Section 3 Descriptive Statistics

Section 4 Empirical Results and Analysis

Section 5 Conclusions and Enlightenment

Chapter VI Study on Duration of Investor Order Submission

Section 1 Literature Review

Study Design

Section III Empirical Results and Analysis

Tests of other hypotheses

Section 5 Conclusions and Enlightenment

Section 6 Policy Recommendations

Chapter VII Theoretical and Empirical Analysis of Transparency of Transaction Information

Definition of information transparency

Section 2 Timeliness of Disclosure of Transaction Information

Section 3 Information Transparency in the World Order Book

Section 4 Impact Analysis of Information Transparency

Section 5 Summary Analysis

Chapter 8 The Impact of Improved Order Book Information Transparency

Study Design

Section 2 Empirical results

Section III Summary Analysis

Chapter IX China's Stock Market Transaction Costs

Section 1 Measurement of Stock Transaction Costs

Section 2 International Trends in Transaction Costs

Section 3 China's Stock Market Transaction Costs and International Comparison

Empirical Research on the Influencing Factors of Transaction Costs

Chapter 10 Quantitative Transactions

Section 1 Concept and Status of Quantitative Transactions

Section 2 Algorithmic Trading

Section III High Frequency Trading

Section 4 Arbitrage and Risk Hedging

Section 5 Main Participants in Quantitative Transactions

Section 6 Impact of Quantitative Transactions on the Market

Section 7 Domestic Quantitative Transactions

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