Execution Times of Small Limit Orders : A Simpler Modeling Approach

This paper studies execution times of small orders in an electronic exchange, specifically the National Stock Exchange of India. Unlike other studies that have reconstructed the order book, a time consuming and computationally intensive activity, this paper considers small hypothetical orders, for which lower and upper bounds on execution time are inferred from subsequent price movements. These bounds define the interval of execution and are modeled using survival analysis with interval censoring. The data used has information on trades and snapshots of the limit order book for 50 stocks over 63 trading days. Results obtained are qualitatively consistent with studies that did not use hypothetical orders. Price premium, relative trading activity, firm size and volatility are the most important variables that affect order execution