Biais is from Toulouse University. Hillion is from INSEAD. Spatt is from Carnegie Mellon University. We are indebted to R. Bellegarde, A. Morice, M. Outin, and P. Samaran, from the Paris Bourse, for helpful discussions. We are thankful to C. d'Autichamps, C. Donay, and Y. Muzika, from the Banque Nationale de Paris, for providing the data. We are also thankful for the comments of the Editor, René Stulz, the referee, as well as participants at presentations at the California Institute of Technology, Carnegie Mellon University, Cornell University, INSEAD, University of Michigan, MIT, Ohio State University, Toulouse University, University of Utah and York University Finance Seminars, the Center for Economic Policy Research (CEPR) workshop on Market Microstructure at Konstanz, the Société des Bourses Françaises, the Stockholm School of Economics Conference, the USC-UCLA-NYSE Conference on Market Microstructure, and the Western Finance Association meetings in San Francisco, especially S. Bhattacharyya, P. Bossaerts, R. Byrne, R. Dammon, R. Green, A. Lo, M. Pagano, C. Plott, D. Seppi, R. Schwartz, S. Smidt, and M. Tenenhaus. Biais gratefully acknowledges the financial support of the Association Française de Finance (AFFI), the Fondation Hautes Etudes Commerciales (HEC) and the Fondation Nationale pour l'Enseignement de la Gestion (FNEGE). Biais, Hillion, and Spatt gratefully acknowledge the financial support of the Institute for Quantitative Research in Finance and the North Atlantic Treaty Organization.
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
Article first published online: 30 APR 2012
1995 The American Finance Association
The Journal of Finance
Volume 50, Issue 5, pages 1655–1689, December 1995
How to Cite
BIAIS, B., HILLION, P. and SPATT, C. (1995), An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse. The Journal of Finance, 50: 1655–1689. doi: 10.1111/j.1540-6261.1995.tb05192.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
As a centralized, computerized, limit order market, the Paris Bourse is particularly appropriate for studying the interaction between the order book and order flow. Descriptive methods capture the richness of the data and distinctive aspects of the market structure. Order flow is concentrated near the quote, while the depth of the book is somewhat larger at nearby valuations. We analyze the supply and demand of liquidity. For example, thin books elicit orders and thick books result in trades. To gain price and time priority, investors quickly place orders within the quotes when the depth at the quotes or the spread is large. Consistent with information effects, downward (upward) shifts in both bid and ask quotes occur after large sales (purchases).