Works matching DE "LIMIT orders"

Results: 56

Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading.

Published in:

Journal of Business Finance & Accounting, 2009, v. 36, n. 1/2, p. 230, doi. 10.1111/j.1468-5957.2008.02116.x

By:

Ning, Zi;
Tse, Yiuman

Publication type:

Article

Hidden Liquidity: Order Exposure Strategies Around Earnings Announcements.

Published in:

Journal of Business Finance & Accounting, 2008, v. 35, n. 9/10, p. 1220, doi. 10.1111/j.1468-5957.2008.02111.x

By:

Chakrabarty, Bidisha;
Shaw, Kenneth W.

Publication type:

Article

TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE.

Published in:

International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 3, p. N.PAG, doi. 10.1142/S0219024918500255

By:

CARTEA, ÁLVARO;
JAIMUNGAL, SEBASTIAN;
RICCI, JASON

Publication type:

Article

OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET.

Published in:

International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 1, p. -1, doi. 10.1142/S0219024916500047

By:

CHEVALIER, ETIENNE;
VATH, VATHANA LY;
SCOTTI, SIMONE;
ROCH, ALEXANDRE

Publication type:

Article

Do (Should) Brokers Route Limit Orders to Options Exchanges That Purchase Order Flow?

Published in:

Journal of Financial & Quantitative Analysis, 2021, v. 56, n. 1, p. 183, doi. 10.1017/S0022109019001078

By:

Battalio, Robert;
Griffith, Todd;
Van Ness, Robert

Publication type:

Article

Does Trading Anonymously Enhance Liquidity?

Published in:

Journal of Financial & Quantitative Analysis, 2020, v. 55, n. 7, p. 2372, doi. 10.1017/S0022109019000747

By:

Dennis, Patrick J.;
Sandås, Patrik

Publication type:

Article

Information-Based Trading in Dealer and Auction Markets: An Analysis of Exchange Listings.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 3, p. 391, doi. 10.2307/3594986

By:

Heidle, Hans G.;
Huang, Roger D.

Publication type:

Article

Order Submission Strategy and the Curious Case of Marketable Limit Orders.

Published in:

Journal of Financial & Quantitative Analysis, 2002, v. 37, n. 2, p. 221, doi. 10.2307/3595004

By:

Peterson, Mark;
Sirri, Erik

Publication type:

Article

Can the Treatment of Limit Orders Reconcile the Differences in Trading Costs between NYSE and Nasdaq Issues?

Published in:

Journal of Financial & Quantitative Analysis, 2001, v. 36, n. 2, p. 267, doi. 10.2307/2676274

By:

Chung, Kee H.;
Van Ness, Bonnie F.;
Van Ness, Robert A.

Publication type:

Article

Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy.

Published in:

Journal of Financial & Quantitative Analysis, 1996, v. 31, n. 2, p. 213, doi. 10.2307/2331180

By:

Harris, Lawrence;
Hasbrouck, Joel

Publication type:

Article

REPLY: THE OPTIMAL PRICE TO TRADE.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 649, doi. 10.2307/2330195

By:

Branch, Ben

Publication type:

Article

Optimal trading of algorithmic orders in a liquidity fragmented market place.

Published in:

Annals of Operations Research, 2015, v. 229, n. 1, p. 521, doi. 10.1007/s10479-015-1815-7

By:

Kumaresan, Miles;
Krejić, Nataša

Publication type:

Article

Integrating Advanced Order Placements in the Design of an Algorithmic Trading System: A Pilot Study Testing Limit Orders, Trailing Stops, and Volume Slicing.

Published in:

Academy of Business Journal, 2021, p. 53

By:

Gold, Steven

Publication type:

Article

Optimal Decisions in a Time Priority Queue.

Published in:

Applied Mathematical Finance, 2018, v. 25, n. 2, p. 107, doi. 10.1080/1350486X.2018.1506257

By:

Donnelly, Ryan;
Gan, Luhui

Publication type:

Article

How Does High-Frequency Trading Affect Low-Frequency Trading?

Published in:

Journal of Behavioral Finance, 2018, v. 19, n. 2, p. 235, doi. 10.1080/15427560.2017.1376669

By:

Li, Kun;
Cooper, Rick;
Van Vliet, Ben

Publication type:

Article

The price impact of order book events: market orders, limit orders and cancellations.

Published in:

Quantitative Finance, 2012, v. 12, n. 9, p. 1395, doi. 10.1080/14697688.2010.528444

By:

Eisler, Zoltán;
Bouchaud, Jean-Philippe;
Kockelkoren, Julien

Publication type:

Article

What pieces of limit order book information matter in explaining order choice by patient and impatient traders?

Published in:

Quantitative Finance, 2009, v. 9, n. 5, p. 527, doi. 10.1080/14697680802616704

By:

Pascual, Roberto;
Veredas, David

Publication type:

Article

Diffusive behavior and the modeling of characteristic times in limit order executions.

Published in:

Quantitative Finance, 2009, v. 9, n. 5, p. 547, doi. 10.1080/14697680802512408

By:

Eisler, Zoltán;
Kertész, János;
Lillo, Fabrizio;
Mantegna, Rosario N.

Publication type:

Article

STRATEGIC LIQUIDITY PROVISION IN LIMIT ORDER MARKETS.

Published in:

Econometrica, 2013, v. 81, n. 1, p. 363, doi. 10.3982/ECTA10018

By:

BACK, KERRY;
BARUCH, SHMUEL

Publication type:

Article

Market making with minimum resting times.

Published in:

Quantitative Finance, 2019, v. 19, n. 6, p. 903, doi. 10.1080/14697688.2018.1556399

By:

Cartea, Álvaro;
Wang, Yixuan

Publication type:

Article

The role of volume in order book dynamics: a multivariate Hawkes process analysis.

Published in:

Quantitative Finance, 2017, v. 17, n. 7, p. 999, doi. 10.1080/14697688.2016.1260759

By:

Rambaldi, Marcello;
Bacry, Emmanuel;
Lillo, Fabrizio

Publication type:

Article

Modelling intensities of order flows in a limit order book.

Published in:

Quantitative Finance, 2017, v. 17, n. 5, p. 683, doi. 10.1080/14697688.2016.1236210

By:

Muni Toke, Ioane;
Yoshida, Nakahiro

Publication type:

Article

Optimal order placement in limit order markets.

Published in:

Quantitative Finance, 2017, v. 17, n. 1, p. 21, doi. 10.1080/14697688.2016.1190030

By:

Cont, Rama;
Kukanov, Arseniy

Publication type:

Article

A behavioural model of investor sentiment in limit order markets.

Published in:

Quantitative Finance, 2017, v. 17, n. 1, p. 71, doi. 10.1080/14697688.2016.1184756

By:

Chiarella, Carl;
He, Xue-Zhong;
Shi, Lei;
Wei, Lijian

Publication type:

Article

The non-linear market impact of large trades: evidence from buy-side order flow.

Published in:

Quantitative Finance, 2013, v. 13, n. 11, p. 1759, doi. 10.1080/14697688.2013.861076

By:

Bershova, Nataliya;
Rakhlin, Dmitry

Publication type:

Article

Rebuilding the limit order book: sequential Bayesian inference on hidden states.

Published in:

Quantitative Finance, 2013, v. 13, n. 11, p. 1779, doi. 10.1080/14697688.2013.851402

By:

Christensen, Hugh L.;
Turner, Richard E.;
Hill, Simon I.;
Godsill, Simon J.

Publication type:

Article

Are Odd-Lot Orders Informed?

Published in:

Financial Review, 2017, v. 52, n. 1, p. 37, doi. 10.1111/fire.12127

By:

Upson, James;
Johnson, Hardy

Publication type:

Article

Price Clustering: Evidence Using Comprehensive Limit-Order Data.

Published in:

Financial Review, 2009, v. 44, n. 1, p. 1, doi. 10.1111/j.1540-6288.2008.00208.x

By:

Chiao, Chaoshin;
Wang, Zi-May

Publication type:

Article

Dividend Size, Yield, Clienteles and REITs.

Published in:

Journal of Real Estate Finance & Economics, 2012, v. 45, n. 2, p. 435, doi. 10.1007/s11146-010-9276-x

By:

Hardin, William;
Huang, Gow-Cheng;
Liano, Kartono

Publication type:

Article

Price Clustering Asymmetries in Limit Order Flows.

Published in:

Financial Management (Wiley-Blackwell), 2016, v. 45, n. 4, p. 1041, doi. 10.1111/fima.12136

By:

Box, Travis;
Griffith, Todd

Publication type:

Article

Regularities and irregularities in order flow data.

Published in:

European Physical Journal B: Condensed Matter, 2017, v. 90, n. 11, p. 1, doi. 10.1140/epjb/e2017-80087-6

By:

Theissen, Martin;
Krause, Sebastian;
Guhr, Thomas

Publication type:

Article

Workup.

Published in:

Review of Economic Design, 2014, v. 18, n. 1, p. 37, doi. 10.1007/s10058-013-0153-y

By:

Pancs, Romans

Publication type:

Article

Investor Behavior at the 52-Week High.

Published in:

Journal of Financial & Quantitative Analysis, 2023, v. 58, n. 7, p. 2852, doi. 10.1017/S002210902200148X

By:

Della Vedova, Joshua;
Grant, Andrew;
Westerholm, P. Joakim

Publication type:

Article

Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq.

Published in:: Management Science, 2010, v. 56, n. 12, p. 2237, doi. 10.1287/mnsc.1100.1243
Publication type:: Article

Equilibrium in a Dynamic Limit Order Market.

Published in:

Journal of Finance (Wiley-Blackwell), 2005, v. 60, n. 5, p. 2149, doi. 10.1111/j.1540-6261.2005.00795.x

By:

GOETTLER, RONALD L.;
PARLOUR, CHRISTINE A.;
RAJAN, UDAY

Publication type:

Article

The Development of Secondary Market Liquidity for NYSE-Listed IPOs.

Published in:

Journal of Finance (Wiley-Blackwell), 2004, v. 59, n. 5, p. 2339, doi. 10.1111/j.1540-6261.2004.00701.x

By:

CORWIN, SHANE A.;
HARRIS, JEFFREY H.;
LIPSON, MARC L.

Publication type:

Article

Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong.

Published in:

Journal of Finance (Wiley-Blackwell), 2001, v. 56, n. 2, p. 767, doi. 10.1111/0022-1082.00345

By:

Hee-Joon Ahn;
Kee-Hong Bae;
Kalok Chan

Publication type:

Article

Order Flow and Liquidity around NYSE Trading Halts.

Published in:

Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 4, p. 1771, doi. 10.1111/0022-1082.00267

By:

Corwin, Shane A.;
Lipson, Marc L.

Publication type:

Article

Consistency between Predicted and Actual Bid-Ask Quote Revisons.

Published in:

Journal of Finance (Wiley-Blackwell), 1991, v. 46, n. 1, p. 433, doi. 10.1111/j.1540-6261.1991.tb03760.x

By:

Hasung Jang;
Venkatesh, P.C.

Publication type:

Article

The Explanatory Power of Order Imbalance Measures.

Published in:

Quarterly Journal of Finance, 2018, v. 8, n. 1, p. -1, doi. 10.1142/S2010139218500039

By:

Johnson, B. Hardy;
Watson, Ethan D.

Publication type:

Article

The Information Content of Undisclosed Limit Orders Around Broker Anonymity.

Published in:

Australasian Accounting Business & Finance Journal, 2011, v. 5, n. 1, p. 5

By:

Lepone, Andrew;
Mistry, Mitesh

Publication type:

Article

The Tick-by-Tick Dynamical Consistency of Price Impact in Limit Order Books.

Published in:

Applied Mathematical Finance, 2011, v. 18, n. 3, p. 189, doi. 10.1080/1350486X.2010.504333

By:

Challet, Damien

Publication type:

Article

Order Cancellations, Fees, and Execution Quality in U.S. Equity Options.

Published in:

Review of Financial Studies, 2020, v. 33, n. 4, p. 1534, doi. 10.1093/rfs/hhz088

By:

Griffith, Todd G;
Ness, Robert A Van

Publication type:

Article

Erratum.

Published in:: 2020
Publication type:: Correction Notice

Over-the-Counter versus Limit-Order Markets: The Role of Traders' Expertise.

Published in:

Review of Financial Studies, 2020, v. 33, n. 2, p. 866, doi. 10.1093/rfs/hhz061

By:

Glode, Vincent;
Opp, Christian C

Publication type:

Article

Liquidity Provision Contracts and Market Quality: Evidence from the New York Stock Exchange.

Published in:

Review of Financial Studies, 2020, v. 33, n. 1, p. 44, doi. 10.1093/rfs/hhz040

By:

Bessembinder, Hendrik;
Hao, Jia;
Zheng, Kuncheng

Publication type:

Article

Competition for Order Flow with Fast and Slow Traders.

Published in:

Review of Financial Studies, 2015, v. 28, n. 7, p. 2094, doi. 10.1093/rfs/hhv023

By:

van Kervel, Vincent

Publication type:

Article

Cognitive Limitation and Investment Performance: Evidence from Limit Order Clustering.

Published in:

Review of Financial Studies, 2015, v. 28, n. 3, p. 838, doi. 10.1093/rfs/hhu044

By:

Kuo, Wei-Yu;
Lin, Tse-Chun;
Zhao, Jing

Publication type:

Article

Trading Fees and Efficiency in Limit Order Markets.

Published in:

Review of Financial Studies, 2012, v. 25, n. 11, p. 3389, doi. 10.1093/rfs/hhs089

By:

Colliard, Jean-Edouard;
Foucault, Thierry

Publication type:

Article

The dampening effect of iceberg orders on small traders' welfare.

Published in:

Annals of Finance, 2017, v. 13, n. 4, p. 453, doi. 10.1007/s10436-017-0304-1

By:

Delaney, Laura;
Kovaleva, Polina

Publication type:

Article