An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Bruno Biais, Pierre Hillion, Chester Spatt · 1995 · The Journal of Finance

IntermediateHFTEmpirical

Classic empirical LOB study: thin books attract limit orders, thick books attract market orders, and order flow is autocorrelated.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L2 depth (every update) Set what data you have
Themes: Order book models Order-flow alpha
Assets: Equities
Market: Europe

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@article{biais1995empirical,
  author = {Biais, Bruno and Hillion, Pierre and Spatt, Chester},
  title = {{An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse}},
  journal = {The Journal of Finance},
  year = {1995},
  doi = {10.1111/j.1540-6261.1995.tb05192.x}
}

Biais, B., Hillion, P., & Spatt, C. (1995). An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb05192.x