Paris Bourse Order Flow Reveals Secrets of Market Liquidity
The Paris Bourse, a computerized market, was studied to see how orders and trades interact. Orders are often placed near the current price, and the depth of orders changes with price. Thin order books lead to more orders, while thick books lead to more trades. Investors quickly place orders to get priority. When there are big sales, prices tend to go down, and when there are big purchases, prices tend to go up.