title: Equity Markets in Action: The Fundamentals of Liquidity, Market Structure & Trading + CD
author:  Robert A. Schwartz 
description: "<i>Equity Markets in Action</i> should be required reading for all aspiring traders and equity money managers. The computer simulation model should further enlighten the reader." -- <i>Financial Analyst Journal</i>, January/February 2005
zlib_text: An analysis of order submissions on the Xetra trading system
  using multivariate time series of counts∗
  Joachim Grammig†
  Andr´eas Heinen‡
  Erick Rengifo§
  March 2003
  JEL Classiﬁcation codes: C32, C35, G10.
  Keywords: Market microstructure; Asymmetric Information, Liquidity; Multivariate
  count model.
  Abstract
  Using an innovative empirical methodology we analyze trading activity and liquidity
  supply in an open limit order book market and test a variety of hypotheses put forth
  by market microstructure theory. We study how the state of the limit order book, i.e.
  liquidity supply, as well as price volatility and limit order cancelations impact on future
  trading activity and identify those factors which explain liquidity supply.
  ∗The authors would like to thank Luc Bauwens and Helena Beltran for helpful discussions and suggestions.
  We also wish to thank Helena Beltran for sharing her computer code, which was of great help for our
  computations. The usual disclaimers apply.
  †Eberhard Karls Univers