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Citations for "Econometric Models of Limit-Order Executions"

by Andrew W. Lo & A. Craig MacKinlay & June Zhang

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  1. repec:dau:papers:123456789/2200 is not listed on IDEAS
  2. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
  3. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
  4. 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.
  5. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007. "Diffusive behavior and the modeling of characteristic times in limit order executions," Papers physics/0701335, arXiv.org, revised Dec 2008.
  6. Garvey, Ryan & Wu, Fei, 2011. "Information, speed vs. cost trade-offs, and order routing decisions in U.S. equity markets," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 408-422, June.
  7. Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
  8. Dan Ladley & Klaus Reiner Schenk-Hoppe, 2007. "Do Stylised Facts of Order Book Markets Need Strategic Behaviour?," Swiss Finance Institute Research Paper Series 07-20, Swiss Finance Institute.
  9. Harris, Lawrence E. & Panchapagesan, Venkatesh, 2005. "The information content of the limit order book: evidence from NYSE specialist trading decisions," Journal of Financial Markets, Elsevier, vol. 8(1), pages 25-67, February.
  10. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc.
  11. McCauley, Joseph L., 2000. "The futility of utility: how market dynamics marginalize Adam Smith," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(3), pages 506-538.
  12. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 22.
  13. 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.
  14. 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.
  15. Gava, Luana, 2005. "The speed of limit order execution in the Spanish stock exchange," DEE - Working Papers. Business Economics. WB wb057718, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  16. Juhani T. Linnainmaa, 2011. "Why Do (Some) Households Trade So Much?," Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1630-1666.
  17. repec:hal:wpaper:hal-00684716 is not listed on IDEAS
  18. 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.
  19. 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.
  20. Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
  21. Tristan Fletcher & John Shawe-Taylor, 2013. "Multiple Kernel Learning with Fisher Kernels for High Frequency Currency Prediction," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 217-240, August.
  22. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
  23. Gaël Giraud, 2004. "The limit-price exchange process," Cahiers de la Maison des Sciences Economiques b04118, Université Panthéon-Sorbonne (Paris 1).
  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. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, 02.
  26. 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.
  27. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  28. 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.
  29. Al-Suhaibani, Mohammad & Kryzanowski, Lawrence, 2000. "An exploratory analysis of the order book, and order flow and execution on the Saudi stock market," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1323-1357, August.
  30. repec:dau:papers:123456789/2397 is not listed on IDEAS
  31. Angel Pardo & Roberto Pascual, 2012. "On the hidden side of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 18(10), pages 949-967, November.
  32. Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
  33. Yoshida, Yushi & Susai, Masayuki, 2016. "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper 70291, University Library of Munich, Germany.
  34. Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.
  35. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015. "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, vol. 24(C), pages 1-24.
  36. Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group.
  37. Adam Ponzi & Fabrizio Lillo & Rosario N. Mantegna, 2006. "Market reaction to temporary liquidity crises and the permanent market impact," Papers physics/0608032, arXiv.org.
  38. Garvey, Ryan & Wu, Fei, 2010. "Speed, distance, and electronic trading: New evidence on why location matters," Journal of Financial Markets, Elsevier, vol. 13(4), pages 367-396, November.
  39. Kaminski, Kathryn & Lo, Andrew W., 2008. "When Do Stop-Loss Rules Stop Losses?," SIFR Research Report Series 63, Institute for Financial Research.
  40. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
  41. Esser, Angelika & Monch, Burkart, 2007. "The navigation of an iceberg: The optimal use of hidden orders," Finance Research Letters, Elsevier, vol. 4(2), pages 68-81, June.
  42. Rose, Annica, 2014. "The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 171-184.
  43. Jón Daníelsson & Richard Payne, 2012. "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 799-821, October.
  44. Alexander, Gordon J. & Peterson, Mark A., 2002. "Implications of a Reduction in Tick Size on Short-Sell Order Execution," Journal of Financial Intermediation, Elsevier, vol. 11(1), pages 37-60, January.
  45. 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.
  46. Perotti, Pietro, 2010. "Order aggressiveness as a metric to assess the usefulness of accounting information," The International Journal of Accounting, Elsevier, vol. 45(3), pages 306-333, September.
  47. 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.
  48. 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.
  49. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
  50. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
  51. Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
  52. 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.
  53. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  54. Alexander, Gordon J. & Peterson, Mark A., 1999. "Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule," Journal of Financial Intermediation, Elsevier, vol. 8(1-2), pages 90-116, January.
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