Title: Analysing dynamic interactions in limit order book markets using nonparametric methods
Authors: Christopher Walsh - University of Vienna (Austria) [presenting]
Nikolaus Hautsch - University of Vienna (Austria)
Abstract: A novel theoretical explanation has been recently provided for price impact in limit order book markets. The corresponding empirical analysis was conducted using static parametric regression models on data from the LOBSTER database, which contains high frequency limit order book data from NASDAQ. We go beyond the simple justification for the parametric forms via the visual comparison of model fits to some nonparametric fits. Specifically, we will construct a specification test for the proposed models and generalize the models by allowing for the presence of dynamics.