caa a22 4500 46789583X CHVBK 20180406152803.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0008-7 doi (NATIONALLICENCE)springer-10.1007/s00181-005-0008-7 Order aggressiveness and order book dynamics [Elektronische Daten] [Anthony Hall, Nikolaus Hautsch] In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects. Springer-Verlag, 2005 Open limit order book nationallicence Aggressive market orders nationallicence Aggressive limit orders and cancellations nationallicence Multivariate intensity nationallicence Hall Anthony School of Finance and Economics, University of Technology, Sydney, Australia aut Hautsch Nikolaus Department of Economics, University of Copenhagen, Studiestraede 6, 1455, Copenhagen-K, Denmark aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 973-1005 0377-7332 30:4<973 2006 30 181 https://doi.org/10.1007/s00181-005-0008-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0008-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hall Anthony School of Finance and Economics, University of Technology, Sydney, Australia aut NATIONALLICENCE 700 1- Hautsch Nikolaus Department of Economics, University of Copenhagen, Studiestraede 6, 1455, Copenhagen-K, Denmark aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 973-1005 0377-7332 30:4<973 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer