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Citations for " Limit Order Trading"

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  1. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
  2. Medina, Vicente & Pardo, Ángel & Pascual, Roberto, 2014. "The timeline of trading frictions in the European carbon market," Energy Economics, Elsevier, vol. 42(C), pages 378-394.
  3. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, Elsevier, vol. 9(2), pages 144-161, May.
  4. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January.
  5. 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.
  6. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007.
  7. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, Elsevier, vol. 91(1), pages 102-117, January.
  8. Chelley-Steeley, Patricia, 2005. "Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components," Global Finance Journal, Elsevier, vol. 16(1), pages 1-15, August.
  9. Nadia Loukil & Ouidad Yousfi, 2013. "Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context," Papers 1304.4852, arXiv.org.
  10. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. Jie-Haun Lee & Whei-May Fan, 2014. "Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 97-119, July.
  12. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers, Brandeis University, Department of Economics and International Businesss School 39, Brandeis University, Department of Economics and International Businesss School.
  13. Andrew Ellul & Craig W. Holden & Pankaj Jain & Robert Jennings, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
  14. Burton Hollifield & Robert A. Miller & patrik Sandas, . "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 29-99, Wharton School Rodney L. White Center for Financial Research.
  15. Bae, Kee-Hong & Jang, Hasung & Park, Kyung Suh, 2003. "Traders' choice between limit and market orders: evidence from NYSE stocks," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(4), pages 517-538, August.
  16. Carlson, John A. & Lo, Melody, 2006. "One minute in the life of the DM/US$: Public news in an electronic market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(7), pages 1090-1102, November.
  17. Burton Hollifield & Robert A. Miller & Patrik Sandas, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 71(4), pages 1027-1063, October.
  18. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 42(5), pages 627-640.
  19. Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(4), pages 335-357, November.
  20. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
  21. Luana Gava, 2005. "The Speed Of Limit Order Execution In The Spanish Stock Exchange," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb057718, Universidad Carlos III, Departamento de Economía de la Empresa.
  22. Massimiliano Caporin & Angelo Ranaldo & Paolo Santucci de Magistris, 2011. "On the Predictability of Stock Prices: A Case for High and Low Prices," "Marco Fanno" Working Papers 0136, Dipartimento di Scienze Economiche "Marco Fanno".
  23. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
  25. Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012. "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers 12-121/III, Tinbergen Institute.
  26. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1171-1217.
  27. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada.
  29. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(4), pages 817-831, April.
  30. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinlander, Thorsten, 2014. "Relative Liquidity and Future Volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-45, Board of Governors of the Federal Reserve System (U.S.).
  31. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(3), pages 249-286, August.
  32. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  33. Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, Elsevier, vol. 75(1), pages 165-199, January.
  34. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(3), pages 301-333, June.
  35. Brockman, Paul & Chung, Dennis Y., 1999. "An analysis of depth behavior in an electronic, order-driven environment," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1861-1886, December.
  36. MacKinnon, Greg & Nemiroff, Howard, 2004. "Tick size and the returns to providing liquidity," International Review of Economics & Finance, Elsevier, vol. 13(1), pages 57-73.
  37. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 12(1), pages 1-18, January.
  38. John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers, Geary Institute, University College Dublin 200744, Geary Institute, University College Dublin.
  39. Chelley-Steeley, Patricia, 2003. "The trading mechanism, cross listed stocks: a comparison of the Paris Bourse and SEAQ-International," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 401-417, October.
  40. Anand, Amber & Weaver, Daniel G., 2004. "Can order exposure be mandated?," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(4), pages 405-426, October.
  41. Handa, Puneet & Schwartz, Robert & Tiwari, Ashish, 2003. "Quote setting and price formation in an order driven market," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(4), pages 461-489, August.
  42. Liu, Wai-Man & Sawyer, K. R., 2003. "How free are free trading options?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(5), pages 573-591, November.
  43. Silva, Ana Cristina & Chavez, Gonzalo, 2002. "Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 12(3), pages 253-278, July.
  44. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(2), pages 144-168, May.
  45. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
  46. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, Elsevier, vol. 7(1), pages 53-74, January.
  47. van Achter, Mark, 2008. "Dynamic limit order market with diversity in trading horizons," CFS Working Paper Series 2008/46, Center for Financial Studies (CFS).
  48. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, Elsevier, vol. 15(1), pages 1-28.
  49. repec:dgr:uvatin:2012121 is not listed on IDEAS
  50. Kaminski, Kathryn M. & Lo, Andrew W., 2014. "When do stop-loss rules stop losses?," Journal of Financial Markets, Elsevier, Elsevier, vol. 18(C), pages 234-254.
  51. Johannes Prix & Otto Loistl & Michael Huetl, 2007. "Algorithmic Trading Patterns in Xetra Orders," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 717-739.
  52. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(5), pages 636-661, December.
  53. Aitken, Michael J. & Berkman, Henk & Mak, Derek, 2001. "The use of undisclosed limit orders on the Australian Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1589-1603, August.
  54. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
  55. Konstantin Tyurin, 2004. "High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market," Econometric Society 2004 North American Summer Meetings 579, Econometric Society.
  56. 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.
  57. David Abad & José Yagüe & Sonia Sanabria, 2005. "Liquidity And Information Around Annual Earnings Announcements: An Intraday Analysis Of The Spanish Stock Market," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  58. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
  59. Phillips Kugele, Lynn & McInish, Thomas H. & Van Ness, Bonnie F. & Van Ness, Robert A., 2000. "Competition from the limit order book and NYSE spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(1), pages 31-42, January.
  60. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, Elsevier, vol. 66(C), pages 98-124.
  61. Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
  62. Naes, Randi & Skjeltorp, Johannes A., 2003. "Equity trading by institutional investors: Evidence on order submission strategies," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1779-1817, September.
  63. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, . "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," CORE Discussion Papers RP -2132, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  64. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, Elsevier, vol. 56(1), pages 125-149, April.
  65. Simon Hagemann & Christoph Weber, 2013. "An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity," EWL Working Papers 1317, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2013.
  66. Brockman, Paul & Chung, Dennis Y., 2002. "The impact of informed trading on corporate liquidity," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 12(3), pages 239-259, July.
  67. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 50(1), pages 93-117, January.
  68. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, Elsevier, vol. 12(1), pages 107-141, February.
  69. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009. "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(3), pages 361-383, December.
  70. Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper, Norges Bank 2003/9, Norges Bank.
  71. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2011. "Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 474-487, June.