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Citations for "Order dynamics: Recent evidence from the NYSE"

by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert

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  1. Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(3), pages 197-224.
  2. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
  3. Davis, Ryan L. & Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert, 2017. "1-share orders and trades," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 109-117.
  4. Rakowski, David & Wang Beardsley, Xiaoxin, 2008. "Decomposing liquidity along the limit order book," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1687-1698, August.
  5. Katarzyna Bień-Barkowska, 2011. "Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market," NBP Working Papers 104, Narodowy Bank Polski, Economic Research Department.
  6. Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010. "Trading and Liquidity with Limited Cognition," TSE Working Papers 10-242, Toulouse School of Economics (TSE).
  7. Rossi, S & Tinn, K, 2012. "Man or Machine? Rational trading without information about fundamentals," Working Papers 12194, Imperial College, London, Imperial College Business School.
  8. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
  9. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
  10. Roberto Pascual & David Veredas, 2010. "Does the Open Limit Order Book Matter in Explaining Informational Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 57-87, Winter.
  11. Pierre-Olivier Weill & Bruno Biais, 2009. "Liquidity shocks and order book dynamics," 2009 Meeting Papers 89, Society for Economic Dynamics.
  12. Tsai, Shih-Chuan, 2013. "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 932-951.
  13. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  14. Valenzuela, Marcela & Zer, Ilknur, 2013. "Competition, signaling and non-walking through the book: Effects on order choice," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5421-5435.
  15. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
  16. 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.
  17. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
  18. Köksal, Bülent, 2010. "Participation strategy of the NYSE specialists to the posted quotes," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 314-331, December.
  19. Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
  20. Gao-Feng Gu & Xiong Xiong & Fei Ren & Wei-Xing Zhou & Wei Zhang, 2011. "The position profiles of order cancellations in an emerging stock market," Papers 1112.6085, arXiv.org, revised May 2013.
  21. 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.
  22. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 527-545.
  23. Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
  24. Yamamoto, Ryuichi, 2014. "An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 369-383.
  25. Panayides, Marios A., 2007. "Affirmative obligations and market making with inventory," Journal of Financial Economics, Elsevier, vol. 86(2), pages 513-542, November.
  26. Wing Lon Ng, 2010. "Dynamic Order Submission And Herding Behavior In Electronic Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 27-43.
  27. 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.
  28. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
  29. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, December.
  30. Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016. "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, vol. 31(C), pages 1-24.
  31. Bülent, Köksal, 2008. "Participation Strategy of the NYSE Specialists to the Trades," MPRA Paper 30512, University Library of Munich, Germany.
  32. Ryan GARVEY & Fei WU, 2012. "Are Market Center Trading Cost Measures Reliable?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 505-517, December.
  33. Coluzzi, Chiara & Ginebri, Sergio, 2008. "Order Dynamics in the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08050, University of Molise, Dept. EGSeI.
  34. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 93-117, January.
  35. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  36. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
  37. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," Caepr Working Papers 2006-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  38. Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
  39. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 107-141, February.
  40. 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.).
  41. Katarzyna Bien-Barkowska, 2011. "Distribution Choice for the Asymmetric ACD Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 55-72.
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