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What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Pascual, Roberto; Veredas, David - In: Quantitative Finance 9 (2009) 5, pp. 527-545

In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a sequential ordered probit (SOP) model which allows studying patient and impatient traders' choices...

Persistent link: https://www.econbiz.de/10004966883

Market versus limit orders in an imperfectly competitive security

Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996

This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if...

Persistent link: https://www.econbiz.de/10005772345

Liquidity Supply and Demand in Limit Order Markets

Hollifield, Burton; Miller, Robert A.; Sandås, Patrik; … - C.E.P.R. Discussion Papers - 2002

We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The best quotes and the execution probabilities and picking off risks of limit orders determine the price of immediacy. The price of immediacy...

Persistent link: https://www.econbiz.de/10005136412

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 examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather than the more common analysis of indicative quotes. In...

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 market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality...

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

Intra-Day Seasonality in Foreign Market Transactions

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

Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....

Persistent link: https://www.econbiz.de/10009143709

The Speed of Information Revelation in a Financial Market Mechanism

Vives, Xavier - European Science Foundation Network in Financial … - 1992

Suppose that information about the value of a risky asset is dispersed among many agents in the economy. The paper studies the rate at which successive price quotations from competitive market makers, which reflect the desired (notional) trades of risk- averse informed agents, reveal the value...

Persistent link: https://www.econbiz.de/10005281273

Limit Order Book as a Market for Liquidity

Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2001

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ in their impatience: less patient traders demand liquidity, more patient traders...

Persistent link: https://www.econbiz.de/10005114215

A marketing scheme for making money off innocent people: A user's manual

Basu, Kaushik - 2009

Firms often give away free goods with the product that they sell. Firms often give stock options to their top management and other employees. Mixing these two practices-giving stock options to consumers who buy the firm's product-, creates a deadly brew. Large numbers of consumers can be lured...

Persistent link: https://www.econbiz.de/10010292071

Criteria of Effective Marketing: Analysis of Corporate Marketing Activities in Hungary

Nagy, Szabolcs - In: „Mérleg és Kihívások” - IX. Nemzetközi …, (pp. 103-112). 2015

The practice of marketing has significantly changed among companies operating in Hungary since the economic transition … with new emphasis, marketing activities and expectations have been emerged. This paper analyzes the role and significance … of marketing in corporate practices; undercover the most important activities of marketing managers in current business …

Persistent link: https://www.econbiz.de/10011381243