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Trading systems : secrets of the masters

Krutsinger, Joe - 1997

Persistent link: https://www.econbiz.de/10004346507

On Linearity Of Transaction Costs In Order Driven Market

Andreev, Nikolay A. - National Research University Higher School of Economics - 2014

We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for order-driven market on the...

Persistent link: https://www.econbiz.de/10011098911

Les stratégies de placement d'ordres : le cas des ordres à quantité cachée

Raposo, Juan - Université Paris-Dauphine (Paris IX) - 2003

Dans ce papier, nous analysons les stratégies suivies par les investisseurs de grande taille, et en particulier celles utilisées par les donneurs d’ordres à quantité cachée, sur le marché parisien. A l’aide de données qui permettent de reconstituer le carnet d’ordres dans son...

Persistent link: https://www.econbiz.de/10011073600

The E ect of Hidden Liquidity on the Welfare of Market Order Traders

Delaney, L.; Kovaleva, P. - Department of Economics, City University - 2014

. We further analyse the impact of more information and more reliable information on the trader’s ex ante expected welfare … from the trade. We show that his expected welfare always increases with more information and with more reliable information … welfare is ambiguous. …

Persistent link: https://www.econbiz.de/10011249321

Limit pricing and entry under incomplete information : an equilibrium analysis

Milgrom, Paul; Roberts, John - In: Econometrica : journal of the Econometric Society, an … 50 (1982) 2, pp. 443-459

Persistent link: https://www.econbiz.de/10002493304

Optimal order placement in limit order markets

Cont, Rama; Kukanov, Arseniy - HAL - 2012

To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the...

Persistent link: https://www.econbiz.de/10010821294

The relative contribution of ask and bid quotes to price discovery

Pascual, Roberto; Pascual-Fuster, Bartolomé - In: Journal of Financial Markets 20 (2014) C, pp. 129-150

Using 2000–2010 data for 84 stocks listed in the Spanish Stock Exchange (SSE) and 2009–2010 data for 240 stocks listed in the New York Stock Exchange (NYSE), we provide robust evidence of daily asymmetries in the contribution of ask and bid quotes to price discovery. Asymmetries happen in...

Persistent link: https://www.econbiz.de/10010906571

Commonalities in the order book

Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim - In: Financial Markets and Portfolio Management 23 (2009) 3, pp. 209-242

Persistent link: https://www.econbiz.de/10005048625

Commonalities in the order book

BELTRAN, Helena; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), … - 2005

Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open … variation exhibit specific dynamics. When we exploit results from microstructure theory to empirically assess whether the …

Persistent link: https://www.econbiz.de/10005008367

Does the open limit order book matter in explaining long run volatility ?

PASCUAL, Roberto; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2006

This paper evaluates the informational content of an open limit order book by studying its role in explaining long run volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic state-space co-integration model for ask and bid...

Persistent link: https://www.econbiz.de/10005008656