000253251 001__ 253251
000253251 005__ 20180123005807.0
000253251 037__ $$a520-2016-37703
000253251 041__ $$aen_US
000253251 245__ $$aThe Information Content of the Limit Order Book
000253251 246__ $$aLe contenu d'information du carnet de commandes limitées
000253251 260__ $$c2017
000253251 269__ $$a2017
000253251 336__ $$aConference Paper/ Presentation
000253251 520__ $$aOver the past decade agricultural commodity futures trading has migrated to the electronic platform from the traditional outcry system. Trades in the electronic platform are conducted through a computerized system where all traders submit their orders with their intended prices and number of contracts. The orders that match the best prevailing price from the opposite side are immediately
executed and are called market orders. The orders that are not matched immediately are called limit orders and the system storing these orders is the limit order book (LOB). At any point in time, the LOB contains all the resting orders on the demand and supply sides at different price levels in descending and
ascending order, respectively, beyond the best bid and best ask (BBA). Recent finance literature has found evidence that informed traders may submit limit orders instead of market orders as a part of their trading strategies. This means the levels of the LOB beyond the BBA may contain valuable information facilitating the price discovery process of these commodities. We reconstruct the LOB for five major agricultural commodities namely lean hogs, live cattle, corn, wheat, and soybeans as well as the CME Emini S&P 500. Three information share metrics are computed. The results show that the contribution of the levels of the LOB beyond the BBA to price discovery of agricultural commodities is over thirty percent, more than that of E-mini S&P 500. Moreover, the results suggest that the levels of LOB beyond BBA have more information for grains than for meats.   

Au cours de la dernière décennie, les transactions à terme de marchandises agricoles ont migré du système de criée traditionnel vers la plateforme électronique. Les échanges sur la plateforme électronique sont gérés à travers un système informatisé où tous les négociateurs soumettent leurs commandes avec leurs prix et nombres de contrats voulus. Les commandes qui s'alignent au meilleur prix en vigueur du côté opposé sont immédiatement exécutées et sont appelées ordres de valeur
marchande. Les commandes qui ne correspondent pas immédiatement sont appelées commandes
limitées et le système qui enregistre ces commandes porte le nom de carnet de commandes limitées (limit order book, LOB). À n'importe quel moment dans le temps, le LOB contient toutes les commandes restantes à différents niveaux de prix en ordre décroissant du côté de l'offre et en ordre croissant du côté de la demande au-delà de la meilleure offre et la meilleure demande (best bid and best ask, BBA). La littérature financière récente a trouvé des preuves que les négociateurs informés peuvent soumettre des commandes limitées au lieu d'ordres de valeur marchande dans le cadre de leurs stratégies commerciales. Ceci signifie que les niveaux du LOB au-delà de la BBA peuvent contenir des informations de grande valeur facilitant le processus de découverte des prix de ces marchandises. Nous avons reconstruit le LOB de cinq marchandises agricoles majeures à savoir le porc, le bétail vivant, le maïs, le blé et le soja, de même que le CME E-mini S&P 500. Trois indicateurs de partage de l'information sont calculés. Les résultats montrent que la contribution des niveaux du LOB au-delà de la BBA à la découverte des prix des marchandises agricoles s'élève à plus de trente pour cent, plus que celle de Emini S&P 500. En outre, les résultats suggèrent que les niveaux du LOB au-delà de la BBA offrent plus d'informations pour les céréales que pour les viandes
000253251 542__ $$fLicense granted by Julia Kelly (jkelly@umn.edu) on 2017-02-08T23:05:56Z (GMT):

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000253251 650__ $$aAgricultural Finance
000253251 650__ $$aMarketing
000253251 700__ $$aArzandeh, Mehdi
000253251 700__ $$aFrank, Julieta
000253251 8564_ $$s836851$$uhttp://ageconsearch.umn.edu/record/253251/files/AgPolicyPosterOttawa2017_Arzandeh-Frank%20A.pdf
000253251 887__ $$ahttp://purl.umn.edu/253251
000253251 909CO $$ooai:ageconsearch.umn.edu:253251$$pGLOBAL_SET
000253251 912__ $$nSubmitted by Julia Kelly (jkelly@umn.edu) on 2017-02-08T23:23:11Z
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  Previous issue date: 2017
000253251 982__ $$gCanadian Agricultural Economics Society>7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON
000253251 980__ $$a520