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The Market Impact of a Limit Order · Study

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PreprintThe Market Impact of a Limit Order

Nikolaus Hautsch2010

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Preprintgreen2010

The Market Impact of a Limit Order

Nikolaus Hautsch · Ruihong Huang

25 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

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2005Estimation and Inference of Impulse Responses by Local Projections 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1991Inferring Trade Direction from Intraday Data 1991Measuring the Information Content of Stock Trades 1992Time and the Process of Security Price Adjustment

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2012Optimal Portfolio Execution Using Market and Limit Orders 2011Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

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2011The market impact of a limit orderarticle · 15 shared references 2018Price Discovery in High Resolutionarticle · 6 shared references 2010Dark Pool Trading Strategies, Market Quality and Welfarepreprint · 6 shared references 2005Asymmetries in bid and ask responses to innovations in the trading processarticle · 6 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 6 shared references 2005Duration, volume and volatility impact of tradesarticle · 5 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1677343

openalex_workW1996772948

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