When two random variables are both additive or multiplicative, the effect of the way one quot;slicesquot; the available period to subperiods (time intervals) is well documented in the literature. In this paper, we investigate the time interval effect when one of the variables is additive and one...

We identify and characterize order splitting strategies in an automated limit order market. We model the market conditions and order characteristics, which lead to the use of order splitting strategies. We find a positive correlation between price aggressiveness and the propensity to split an...

Tel Aviv Stock Exchange is the only market open on Sundays and trades ETNs on local and US indices. We use this feature to estimate the causal relation between the inventory cost and the bid-ask spread. We compare spreads on the most liquid indices on Sundays and other days using...