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 University Library of Munich, Germany in its series MPRA Paper with number 3493.
Date of creation: 2007
Date of revision:
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.
- john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-18 (All new papers)
- NEP-MST-2007-06-18 (Market Microstructure)
- NEP-RMG-2007-06-18 (Risk Management)
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