Econometric Models of Limit-Order Executions.

Limit orders incur no price impact, however, their execution time is uncertain. We develop several econometric models of limit-order execution times using survival analysis, and estimate them with actual limit-order data. We estimate models for time-to-first-fill and time-to-completion, and for limit-sells and limit-buys, and incorporate the effects of explanatory variables such as the limit price, the limit size, the bid/offer spread, and market volatility. We find that execution times are very sensitive to limit price and several other explanatory variables, but not sensitive to limit size. We also show that hypothetical limit-order executions, constructed either theoretically from first-passage times or empirically from transactions data, are very poor proxies for actual limit-order executions.