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Citations for "An Integrated Model of Market and Limit Orders"

by Sugato Chakravarty & Craig Holden

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  1. 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.
  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. Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
  4. 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.
  5. Mazza, Paolo & Petitjean, Mikael, 2016. "On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios," Economic Modelling, Elsevier, vol. 54(C), pages 67-81.
  6. Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
  7. Thomas Stoeckl, 2013. "Price efficiency and trading behavior in limit order markets with competing insiders," Working Papers 2013-11, Faculty of Economics and Statistics, University of Innsbruck.
  8. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013. "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series 335, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
  10. Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
  11. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
  12. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
  13. 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.
  14. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
  15. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2007. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Working Paper Research 121, National Bank of Belgium.
  16. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
  17. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
  18. Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001. "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers 1149, Purdue University, Department of Economics.
  19. Withanawasam, R.M. & Whigham, P.A. & Crack, Timothy Falcon, 2013. "Characterizing limit order prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5346-5355.
  20. 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.
  21. 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.
  22. 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.
  23. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
  24. 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.
  25. Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
  26. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
  27. 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.
  28. Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2016. "Asymmetric Effects of the Limit Order Book on Price Dynamics," Working Papers 16-5, HEC Montreal, Canada Research Chair in Risk Management.
  29. 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.
  30. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
  31. 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.
  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. 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.
  34. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
  35. 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.
  36. Thomas Stöckl, 2014. "Price efficiency and trading behavior in limit order markets with competing insiders," Experimental Economics, Springer;Economic Science Association, vol. 17(2), pages 314-334, June.
  37. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
  38. Detollenaere, Benoit & Mazza, Paolo, 2014. "Do Japanese candlesticks help solve the trader’s dilemma?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 386-395.
  39. 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.
  40. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
  41. Thomas St?ckl & Michael Kirchler, 2010. "Trading strategies and trading profits in experimental asset markets with cumulative information," Working Papers 2010-09, Faculty of Economics and Statistics, University of Innsbruck.
  42. 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.
  43. Ron Kaniel & Hong Liu, "undated". "Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?," Rodney L. White Center for Financial Research Working Papers 16-98, Wharton School Rodney L. White Center for Financial Research.
  44. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Post-Print hal-00515873, HAL.
  45. 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.
  46. 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.
  47. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2009. "Rise of the machines: algorithmic trading in the foreign exchange market," International Finance Discussion Papers 980, Board of Governors of the Federal Reserve System (U.S.).
  48. Alex Boulatov & Thomas J. George, 2013. "Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers," Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 2096-2137.
  49. 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.
  50. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
  51. Ryan Garvey, 2012. "Are informed traders reluctant to bear price risk or execution risk?," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(4), pages 284-303, September.
  52. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  53. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  54. Stefan Palan & Thomas Stöckl, 2014. "When chasing the offender hurts the victim: Collateral damage from insider legislation," Working Paper Series, Social and Economic Sciences 2014-03, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  55. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140.
  56. Hillert, Alexander & Maug, Ernst & Obernberger, Stefan, 2016. "Stock repurchases and liquidity," Journal of Financial Economics, Elsevier, vol. 119(1), pages 186-209.
  57. 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.
  58. Hugh Luckock, 2003. "A steady-state model of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 385-404.
  59. Tolga Cenesizoglu & Georges Dionne & Xiaozhou Zhou, 2014. "Effects of the Limit Order Book on Price Dynamics," Cahiers de recherche 1426, CIRPEE.
  60. 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.
  61. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
  62. 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.
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