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Order Submission: The Choice between Limit and Market Orders · Study

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PreprintOrder Submission: The Choice between Limit and Market Orders

Ingrid Lo2004

OA

Preprintgreen2004

Order Submission: The Choice between Limit and Market Orders

21 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1988A Theory of Intraday Patterns: Volume and Price Variability 1968The Cost of Transacting 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 1987Constraints on short-selling and asset price adjustment to private information 1981Optimal dealer pricing under transactions and return uncertainty 1995Market microstructure theory

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2010Order aggressiveness and quantity: How are they determined in a limit order market?article · 34 shared references 2008Limit Order Markets: A Surveychapter · 19 shared references 2020Limit order books: a systematic review of literaturereview · 17 shared references 2008The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 systemarticle · 16 shared references 1999Limit Orders, Depth, and Volatilitypreprint · 16 shared references 2005Market microstructure: A survey of microfoundations, empirical results, and policy implicationsarticle · 15 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.488168

openalex_workW1596839447

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