The price impact of order book events: market orders, limit orders and cancellations
The price impact of order book events: market orders, limit orders and cancellations
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce. We provide here an empirical study of the cross-correlation between all these different events, and their respective impact on future …