The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
This 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
3493.
| Length: | |
| Date of creation: | 2007 |
| Handle: | RePEc:pra:mprapa:3493 |
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