Search Results - subject:"Market orders"

A Leland model for delta hedging in central risk books

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 504-547

Persistent link: https://www.econbiz.de/10014329890

Trade informativeness in modern markets

Nawn, Samarpan; Raizada, Gaurav - In: Financial analysts journal : FAJ 79 (2023) 1, pp. 77-98

Persistent link: https://www.econbiz.de/10013540889

Market conditions and order-type preference

Kalaitzoglou, Iordanis Angelos; Ibrahim, Boulis Maher - In: International review of financial analysis 87 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014456331

Individuals' asymmetric choice of order-type depending on the previous returns

Lee, Hyo-jeong - In: Global Business & Finance Review (GBFR) 23 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10012286654

Estimating the price impact of market orders on the Bucharest stock exchange

Bahna, Mircea; Cepoi, Cosmin Octavian; Dumitrescu, Bogdan; … - In: Romanian journal of economic forecasting 21 (2018) 4, pp. 120-133

Persistent link: https://www.econbiz.de/10012021919

Individuals' asymmetric choice of order-type depending on the previous returns

Lee, Hyo-jeong - In: Global business and finance review 23 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011896922

Trading strategies within the edges of no-arbitrage

Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10011889457

Stationary distribution of the volume at the best quote in a poisson order book model

Toke, Ioane Muni - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10011734357

Intra-Day Seasonality in Foreign Market Transactions

Cotter, John; Dowd, Kevin - Geary Institute, University College Dublin - 2011

This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis … the more common analysis of indicative quotes. In general, limit and market orders exhibit broadly similar tail behaviour …, but limit orders have significantly heavier tails and larger tail quantiles than market orders. …

Persistent link: https://www.econbiz.de/10009143698

Intra-Day Seasonality in Foreign Market Transactions

Cotter, John; Dowd, Kevin - Geary Institute, University College Dublin - 2011

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange …

Persistent link: https://www.econbiz.de/10009143701