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    Macroeconomic News and LOB in Foreign Exchange ECN Market

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    Author
    Yusi, Tao
    Keyword
    limit order book
    depth
    spread
    slope
    macroeconomic news
    
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    URI
    http://hdl.handle.net/10464/6552
    Abstract
    We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.
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