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Title: Order Dynamics in the Italian Treasury Security Wholesale Secondary Market
Authors: Coluzzi, Chiara
Ginebri, Sergio
Keywords: limit order
market order
order flow
Government bonds
Issue Date: 25-Nov-2008
Abstract: MTS markets are an example of quote driven electronic order book markets for Government securities. Proposals are firm, immediately executable and aggregated in a limit order book. In this paper we analyse the evolution of the interaction between the order book and order flow by exploring the determinants of the flows of limit and market orders over three years. We are able to test several hypotheses coming from theoretical models. This is, to our knowledge, one of the first empir
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