Abstract
This paper describes and analyzes the trading structure at the Stockholm Stock Exchange. In the empirical part, we report stylized facts based on intraday transaction and order book data. focusing on the intraday behavior of retums, trading activity, order placement and bidlask spread, on the importance of the tick size and finally on some characteristics of the limit order book. Our main empirical conclusions are that (a) the intraday U-shape in trading activity found in earlier U.S. studies on the whole also pertains to the Stockholm Stock Exchange, (b) the limit order placement also follows an intraday U-shape, (c) there is no distinct intraday pattern in returns, (d) the volatility and bidtask spread seems to be higher at the beginning of the trading day, (e) the tick size is economically important, and (f) the price impact of an order is a non-linear function of its quantity.