Search Results - subject:"Order Aggressiveness"

Learning and Information Dissemination in Limit Order Markets

Wei, Lijian; Zhang, Wei; He, Xue-Zhong; Zhang, Yongjie - Finance Discipline Group, Business School - 2013

, and order aggressiveness on information dissemination efficiency, bid-ask spread, order submission, and order profit of …

Persistent link: https://www.econbiz.de/10010754098

Order Submission Strategies and Information: Empirical Evidence from the NYSE

Beber, Alessandro; Caglio, Cecilia - Swiss Finance Institute - 2005

We investigate the role of asymmetric information in affecting order submission strategies. Order aggressiveness …

Persistent link: https://www.econbiz.de/10005264592

ESTIMATING THE PROBABILITY OF INFORMED TRADING: FURTHER EVIDENCE FROM AN ORDER-DRIVEN MARKET

Abad, David; Rubia, Antonio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2004

also applies when controlling for market variables other than order aggressiveness (e.g., trade size). The updating process …

Persistent link: https://www.econbiz.de/10005515933

What pieces of limit order book information are informative ?

PASCUAL, Roberto; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2004

This paper studies the importance of different pieces of limit order book information in characterizing order … aggressiveness and the timing of trades, order submissions and cancellations. Using limit order book information on a representative …

Persistent link: https://www.econbiz.de/10005008201

Duration and Order Type Clusters

NG, Wing Lon - Econometric Society - 2004

This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...

Persistent link: https://www.econbiz.de/10005130252