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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
affect the aggressiveness of 'dark' liquidity supply and thus the 'hidden spread'. Our evidence suggests that traders balance … hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse … show that hidden liquidity locations are predictable given the observable state of the market. -- Limit Order Market …
Persistent link: https://www.econbiz.de/10009504616
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Volatility estimation on the basis of price intensities
Gerhard, Frank; Hautsch, Nikolaus - 1999
This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...
Persistent link: https://www.econbiz.de/10011543683
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10003893148
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10003909348
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Limit Order Flow, Market Impact and Optimal Order Sizes : Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus - 2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...
Persistent link: https://www.econbiz.de/10013121274
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S …
Persistent link: https://www.econbiz.de/10003893144
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
liquidity settings, noise-to-signal ratios, and dimensions. An empirical application of forecasting daily covariances of the S …
Persistent link: https://www.econbiz.de/10003909174
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - In: Journal of economic dynamics & control 36 (2012) 4, pp. 501-522
Persistent link: https://www.econbiz.de/10009554343
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Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
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Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models
Gerhard, Frank - 2000
Persistent link: https://www.econbiz.de/10013436039