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Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange
16 references·15 citing·32 second hop
Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange (2009)Strategic order splitting, order choice, …Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…The costs and determinants of order aggressiveness (2000)The costs and determinants of…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)Optimal Dynamic Order Submiss…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Stealth trading and volatility (1993)Stealth trading and volatilityInstitutional trades and intraday stock price behavior (1993)Institutional trades and intr…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Informed options trading around holidays (2021)Informed options trading arou…Does vega-neutral options trading contain information? (2021)Does vega-neutral options tra…Price limit changes and market quality in the Taiwan Stock Exchange (2019)Price limit changes and marke…Noise traders, mispricing, and price adjustments in derivatives markets (2019)Noise traders, mispricing, an…The price impact of futures trades and their intraday seasonality (2016)The price impact of futures t…Option Market Characteristics and Price Monotonicity Violations (2016)Option Market Characteristics…Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange (2016)Investor sentiment, order sub…Trade Duration, Informed Trading, and Option Moneyness (2015)Trade Duration, Informed Trad…Derivative markets in emerging economies: A survey (2015)Derivative markets in emergin…The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market (2014)The Impacts of Individual Day…The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange (2014)The Effects of Margin Changes…Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Informed trading, trading str…Which trader's order-splitting strategy is effective? The case of an index options market (2012)Which trader's order-splittin…The effectiveness of the order-splitting strategy: an analysis of unique data (2011)The effectiveness of the orde…A test of the different implications of the overconfidence and disposition hypotheses (2011)A test of the different impli…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Efficient Capital Markets: II (1991)Inferring Trade Direction from Intraday Data (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)A Theory of Auctions and Competitive Bidding (1982)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)A model of investor sentiment /Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)What Makes Investors Trade? (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Noise Trader Risk in Financial Markets (1990)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Illiquidity and stock returns: cross-section and time-series effects (2002)Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)The Dynamics of Institutional and Individual Trading (2003)When Does Information Asymmetry Affect the Cost of Capital? (2010)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1993Stealth trading and volatility948 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1993Institutional trades and intraday stock price behavior626 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 2006So What Orders Do Informed Traders Use?*351 cited
  • 2000The costs and determinants of order aggressiveness320 cited

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1998
Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems
281 cited

Cited by

  • 2015Trade Duration, Informed Trading, and Option Moneyness58 cited
  • 2016Option Market Characteristics and Price Monotonicity Violations54 cited
  • 2016The price impact of futures trades and their intraday seasonality52 cited
  • 2011A test of the different implications of the overconfidence and disposition hypotheses46 cited
  • 2012Which trader's order-splitting strategy is effective? The case of an index options market41 cited
  • 2021Does vega-neutral options trading contain information?41 cited
  • 2019Noise traders, mispricing, and price adjustments in derivatives markets38 cited
  • 2011The effectiveness of the order-splitting strategy: an analysis of unique data35 cited
  • 2014The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market30 cited
  • 2015Derivative markets in emerging economies: A survey29 cited
  • 2021Informed options trading around holidays28 cited
  • 2014Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market27 cited
  • 2019Price limit changes and market quality in the Taiwan Stock Exchange26 cited
  • 2014The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange25 cited
  • 2016Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange22 cited