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Analyze Order Book
Analyze Order Book
www.elsevier.com/locate/econbase
Abstract
The microstructure of the Saudi Stock Market (SSM) under the new
computerized trading system, ESIS, is described, and order and other generated
data sets are used to examine the patterns in the order book, the dynamics of order
ow, and the probability of executing limit orders. Although the SSM has a distinct
structure, its intraday pat-terns are surprisingly similar to those found in other
markets with di erent structures. We nd that liquidity, as commonly measured by
width and depth, is relatively low on the SSM. However, liquidity is exceptionally
high when measured by immediacy. Limit orders that are priced reasonably, on
average, have a short duration before being ex-ecuted, and have a high probability
of subsequent execution. 2000 Elsevier Science B.V. All rights reserved.
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Corresponding author. Tel.: +1-514-848-2782; fax: +1-514-848-4500.
E-mail addresses: mohisuh@alumni.concordia.ca (M. Al-Suhaibani), lad53@vax2.
concordia.ca (L. Kryzanowski).
0378-4266/00/$ - see front matter 2000 Elsevier Science B.V. All rights
reserved. PII: S 0 3 7 8 - 4 2 6 6 ( 9 9 ) 0 0 0