{"id":{"repo_id":"brock","oai_identifier":"oai:brocku.scholaris.ca:10464/6552"},"canonical_url":"https://search.dev.ndltd.org/etd/brock/oai:brocku.scholaris.ca:10464/6552","repository":{"repo_id":"brock","name":"Brock University","base_url":"https://brocku.scholaris.ca/server/oai/request"},"display":{"title":"Macroeconomic News and LOB in Foreign Exchange ECN Market","abstract":"We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.","abstract_html":"We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.","abstract_has_math":false,"creators":["Yusi, Tao"],"institution":"Brock University","degree_name":"M.Sc. Management","degree_level":"Masters","degree_discipline":"Faculty of Business","degree_department":"Faculty of Business Programs","school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-05-22T15:16:27Z","date_published":"2015-05-22T15:16:27Z","updated_at":"2026-07-24T01:23:12Z","subjects":["limit order book","depth","spread","slope","macroeconomic news"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/10464/6552","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.department","label":"Department","values":["Faculty of Business Programs"]},{"key":"dc:creator","label":"Author","values":["Yusi, Tao"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-05-22T15:16:27Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-05-22T15:16:27Z"]},{"key":"dc:date.issued","label":"Date","values":["2015-05-22T15:16:27Z"]},{"key":"dc:type","label":"Dc Type","values":["Electronic Thesis or Dissertation"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Faculty of Business"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Masters"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.Sc. 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Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB."]},{"key":"dc:title","label":"Title","values":["Macroeconomic News and LOB in Foreign Exchange ECN Market"]}]}],"canonical_facts":{"dc:contributor.department":["Faculty of Business Programs"],"dc:creator":["Yusi, Tao"],"dc:date.accessioned":["2015-05-22T15:16:27Z"],"dc:date.available":["2015-05-22T15:16:27Z"],"dc:date.issued":["2015-05-22T15:16:27Z"],"dc:description.abstract":["We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB."],"dc:identifier.uri":["http://hdl.handle.net/10464/6552"],"dc:language.iso":["eng"],"dc:subject":["limit order book","depth","spread","slope","macroeconomic news"],"dc:title":["Macroeconomic News and LOB in Foreign Exchange ECN Market"],"dc:type":["Electronic Thesis or Dissertation"],"thesis:degree_discipline":["Faculty of Business"],"thesis:degree_level":["Masters"],"thesis:degree_name":["M.Sc. Management"],"thesis:institution_name":["Brock University"]},"updated_at":"2026-07-24T01:23:12Z"}