The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
AbstractThis 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 general, limit and market orders exhibit broadly similar tail behaviour, but limit orders have significantly heavier tails and larger tail quantiles than market orders.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1103.5661.
Date of creation: Mar 2011
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Other versions of this item:
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-FMK-2011-04-09 (Financial Markets)
- NEP-MST-2011-04-09 (Market Microstructure)
- NEP-RMG-2011-04-09 (Risk Management)
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