IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for " Limit Order Trading"

by Handa, Puneet & Schwartz, Robert A

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. 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, vol. 12(1), pages 1-18, January.
  3. Anand, Amber & Weaver, Daniel G., 2004. "Can order exposure be mandated?," Journal of Financial Markets, Elsevier, vol. 7(4), pages 405-426, October.
  4. 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.
  5. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 636-661, December.
  6. Lidan Großmaß, 2014. "Liquidity and the Value at Risk," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 234(5), pages 572-602, September.
  7. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques) 2005015, Université catholique de Louvain, Département des Sciences Economiques.
  8. Luana Gava, 2005. "The Speed Of Limit Order Execution In The Spanish Stock Exchange," Business Economics Working Papers wb057718, Universidad Carlos III, Departamento de Economía de la Empresa.
  9. 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.
  10. Burton Hollifield & Robert A. Miller & Patrik Sand�s, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Oxford University Press, vol. 71(4), pages 1027-1063.
  11. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  12. John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200745, Geary Institute, University College Dublin.
  13. 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.
  14. FOUCAULT, Thierry & KADAN, Ohad & KANDEL, Eugene, 2001. "Limit order book as a market for liquidity," Les Cahiers de Recherche 728, HEC Paris.
  15. 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, vol. 10(1), pages 31-42, January.
  16. 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, vol. 13(4), pages 401-417, October.
  17. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  18. 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.
  19. Handa, Puneet & Schwartz, Robert & Tiwari, Ashish, 2003. "Quote setting and price formation in an order driven market," Journal of Financial Markets, Elsevier, vol. 6(4), pages 461-489, August.
  20. 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.
  21. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
  22. 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.
  23. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
  24. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
  25. repec:dgr:uvatin:2012121 is not listed on IDEAS
  26. 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.
  27. repec:eco:journ1:2014-04-18 is not listed on IDEAS
  28. 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.
  29. 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 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  30. 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).
  31. Roberto Pascual & David Veredas, 2010. "Does the open limit order book matter in explaining long run volatility?," ULB Institutional Repository 2013/136192, ULB -- Universite Libre de Bruxelles.
  32. 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.
  33. Nadia Loukil & Ouidad Yousfi, 2011. "Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context," Post-Print hal-00813921, HAL.
  34. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
  35. 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, vol. 12(3), pages 253-278, July.
  36. Brockman, Paul & Chung, Dennis Y., 2002. "The impact of informed trading on corporate liquidity," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 239-259, July.
  37. Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
  38. 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.
  39. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," CORE Discussion Papers 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  40. GIOT, Pierre & GRAMMIG, Joachim, 2002. "How large is liquidity risk in an automated auction market ?," CORE Discussion Papers 2002054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  41. Kaminski, Kathryn M. & Lo, Andrew W., 2014. "When do stop-loss rules stop losses?," Journal of Financial Markets, Elsevier, vol. 18(C), pages 234-254.
  42. 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, vol. 18(3), pages 474-487, June.
  43. Michael A. Goldstein & Kenneth A. Kavajecz, . "Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE," Rodney L. White Center for Financial Research Working Papers 14-98, Wharton School Rodney L. White Center for Financial Research.
  44. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers 39, Brandeis University, Department of Economics and International Businesss School.
  45. Randi Naes & Johannes A. Skjeltorp, 2003. "Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets," Working Paper 2003/9, Norges Bank.
  46. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinlander, Thorsten, 2014. "Relative Liquidity and Future Volatility," Finance and Economics Discussion Series 2014-45, Board of Governors of the Federal Reserve System (U.S.).
  47. Burton Hollifield & Robert A. Miller & patrik Sandas, . "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers 29-99, Wharton School Rodney L. White Center for Financial Research.
  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, vol. 15(1), pages 1-28.
  49. 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.
  50. 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, vol. 6(4), pages 517-538, August.
  51. 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.
  52. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
  53. 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.
  54. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  55. 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, vol. 25(7), pages 1090-1102, November.
  56. 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.
  57. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009. "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, vol. 94(3), pages 361-383, December.
  58. 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.
  59. 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.
  60. 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.
  61. repec:dgr:uvatin:20120121 is not listed on IDEAS
  62. 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.
  63. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
  64. 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, vol. 75(1), pages 165-199, January.
  65. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
  66. 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, vol. 9(4), pages 335-357, November.
  67. van Achter, Mark, 2008. "Dynamic limit order market with diversity in trading horizons," CFS Working Paper Series 2008/46, Center for Financial Studies (CFS).
  68. 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.
  69. 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.
  70. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 107-141, February.
  71. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(1), pages 93-117, January.
  72. Alexis Derviz, 2007. "Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information," Working Papers IES 2007/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2007.
  73. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
  74. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14.
  75. Liu, Wai-Man & Sawyer, K. R., 2003. "How free are free trading options?," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 573-591, November.
  76. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.