000253251 001__ 253251
000253251 005__ 20170829135235.0
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):

<p class="ds-paragraph">
By depositing this Content ("Content") in AgEcon Search, I agree that I am 
solely responsible for any consequences of uploading this Content to AgEcon 
Search and making it publicly available, and I represent and warrant that:

I am either the sole creator and the owner of the copyrights and all other 
rights in the Content; or, without obtaining another’s permission, I have the 
right to deposit the Content in an archive such as AgEcon Search.

To the extent that any portions of the Content are not my own creation, they 
are used with the copyright holder’s express permission or as permitted by law.
 Additionally, the Content does not infringe the copyrights or other 
intellectual property rights of another, nor does the Content violate any 
laws or another’s rights of privacy or publicity.

The Content contains no restricted, private, confidential, or otherwise 
protected data or information that should not be publicly shared.

I understand that AgEcon Search will do its best to provide perpetual access
 to my Content. In order to support these efforts, I grant the Regents of the
 University of Minnesota ("University"), through AgEcon Search, the following
 non-exclusive, irrevocable, royalty-free, world-wide rights and licenses:

to access, reproduce, distribute and publicly display the Content, in whole
 or in part, in order to secure, preserve and make it publicly available, and

to make derivative works based upon the Content in order to migrate the
 Content to other media or formats, or to preserve its public access.

These terms do not transfer ownership of the copyright(s) in the Content.
 These terms only grant to the University the limited license outlined above.

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$$qGLOBAL_SET
000253251 912__ $$nSubmitted by Julia Kelly (jkelly@umn.edu) on 2017-02-08T23:23:11Z
No. of bitstreams: 1
AgPolicyPosterOttawa2017_Arzandeh-Frank A.pdf: 836851 bytes, checksum: 3a89be62dc31eabf2ec70fd7d66555c6 (MD5)
000253251 912__ $$nMade available in DSpace on 2017-02-08T23:23:11Z (GMT). No. of bitstreams: 1
AgPolicyPosterOttawa2017_Arzandeh-Frank A.pdf: 836851 bytes, checksum: 3a89be62dc31eabf2ec70fd7d66555c6 (MD5)
  Previous issue date: 2017
000253251 982__ $$gCanadian Agricultural Economics Society>7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON
000253251 980__ $$a520