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Order Submission Strategy and the Curious Case of Marketable Limit Orders

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  • Peterson, Mark
  • Sirri, Erik
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 37 (2002)
    Issue (Month): 02 (June)
    Pages: 221-241

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    Handle: RePEc:cup:jfinqa:v:37:y:2002:i:02:p:221-241_00

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    Cited by:
    1. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
    2. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
    3. Garvey, Ryan & Wu, Fei, 2009. "Intraday time and order execution quality dimensions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 203-228, May.
    4. Bacidore, Jeffrey & Battalio, Robert H. & Jennings, Robert H., 2003. "Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange," Journal of Financial Markets, Elsevier, vol. 6(3), pages 337-362, May.
    5. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2008. "Liquidity and market efficiency," Journal of Financial Economics, Elsevier, vol. 87(2), pages 249-268, February.
    6. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
    7. Chaoshin Chiao & Zi-May Wang & Hsiu-Ling Lai, 2009. "Order submission behaviors and opening price behaviors: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 253-278, October.
    8. Harris, Lawrence E. & Panchapagesan, Venkatesh, 2005. "The information content of the limit order book: evidence from NYSE specialist trading decisions," Journal of Financial Markets, Elsevier, vol. 8(1), pages 25-67, February.
    9. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
    10. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    11. Ingrid Lo & Stephen G. Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Working Papers 05-42, Bank of Canada.
    12. Vo, Minh T., 2007. "Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange," Global Finance Journal, Elsevier, vol. 17(3), pages 379-396, 03.
    13. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
    14. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," Caepr Working Papers 2006-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.

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