488
Views
19
CrossRef citations to date
0
Altmetric
Research Papers

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

&
Pages 527-545 | Received 14 Jan 2007, Accepted 10 Nov 2008, Published online: 18 Jun 2009

References

  • Ahn , H-J , Bae , K-H and Chan , K . 2001 . Limit orders depth and volatility: evidence from the stock exchange of Hong Kong . J. Finan. , 56 ( 2 ) : 769 – 790 .
  • Aldrich , JH and Nelson , FD . 1984 . Linear Probability Logit and Probit Models , Thousand Oaks, CA : Sage University Press .
  • Al-Suhaibani , M and Kryzanowski , L . 2000 . An explanatory analysis of the order book order flow and execution on the Saudi Stock Market . J. Bank. Finan. , 24 : 1323 – 1357 .
  • Anand , A , Chakravarty , S and Martell , T . 2005 . Empirical evidence on the evolution of liquidity: choice of market versus limit orders by informed and uninformed traders . J. Finan. Markets , 8 : 289 – 309 .
  • Beber , A and Caglio , C . 2005 . “ Order submission strategies and information: empirical evidence from the NYSE ” . In FAME Research Paper Series 146 , International Center for Financial Asset Management and Engineering .
  • Biais , B , Hillion , P and Spatt , C . 1995 . An empirical analysis of the limit order book and the order flow in the Paris Bourse . J. Finan. , 50 : 1655 – 1689 .
  • Bloomfield , R , O'Hara , M and Saar , G . 2005 . The “make or take” decision in an electronic market: evidence on the evolution of liquidity . J. Finan. Econ. , 75 : 165 – 199 .
  • Borooah Vani , K . 2001 . “ Logit and probit: ordered and multinomial models ” . In Quantitative Applications in the Social Sciences Series , Sage University Paper .
  • Cao , C , Hansch , O and Wang , X . 2003 . “ The informational content of an open limit order book ” . In Working Paper , Pennsylvania State University .
  • Chakrabarty , B , Han , Z and Tyurin , K . 2006 . “ A competing risk analysis of executions and cancellations in a limit order market ” . CAEPR Working Paper #2006-015 Center for Applied Economics and Policy Research, Indiana University .
  • Chan , Y-C . 2005 . Price movement effects on the state of the electronic limit-order book . Finan. Rev. , 40 : 195 – 221 .
  • Cohen , KJ , Maier , SF , Schwartz , RA and Whitcomb , DK . 1981 . Transaction costs order placement strategy and the existence of the bid-ask spread . J. Polit. Econ. , 89 : 287 – 305 .
  • Copeland , TE and Galai , D . 1983 . Information effects on the bid-ask spread . J. Finan. , 38 : 1457 – 1469 .
  • Coppejans , M , Domowitz , I and Madhavan , A . 2004 . “ Resiliency in an automated auction ” . In Working Paper , Barclays Global Investors .
  • Cragg , JG and Uhler , R . 1970 . The demand of automobiles . Can. J. Econ. , 3 : 386 – 406 .
  • De Winnie , R and D'hondt , C . 2007 . Hide-and-seek in the market: placing and detecting hidden orders . Rev. Finan. , 11 : 663 – 692 .
  • Ellul , A , Holden , CW , Jain , P and Jennings , R . 2007 . Order dynamics: recent evidence from the NYSE . J. Empiric. Finan. , 14 : 636 – 661 .
  • Foucault , T . 1999 . Order flow composition and trading costs in a dynamic limit order market . J. Finan. Markets , 2 : 99 – 134 .
  • Foucault , T , Kadan , O and Kandel , E . 2005 . Limit order book as a market for liquidity . Rev. Finan. Stud. , 18 : 1171 – 1217 .
  • Foucault , T , Moinas , S and Theissen , E . 2007 . Does anonymity matter in electronic limit order markets? . Rev. Finan. Stud. , 20 : 1707 – 1747 .
  • Glosten , L . 1994 . Is the electronic limit order book inevitable? . J. Finan. , 49 : 1127 – 1161 .
  • Goettler , RL , Parlour , CA and Rajan , U . 2005 . Equilibrium in a dynamic limit order market . J. Finan. , 5 : 2149 – 2192 .
  • Greene , WH . 2003 . Econometric Analysis , 5 , Englewood Cliffs, NJ : Prentice Hall .
  • Griffiths , MD , Smith , BF , Turnbull , DAS and White , RW . 2000 . The costs and determinants of order aggressiveness . J. Finan. Econ. , 56 : 65 – 88 .
  • Hall , AD and Hautsch , N . 2007 . Modelling the buy and sell intensity in a limit order book market . J. Finan. Markets , 10 : 249 – 286 .
  • Handa , P and Schwartz , RA . 1996 . Limit order trading . J. Finan. , 51 : 1835 – 1861 .
  • Handa , P , Schwartz , RA and Tiwari , A . 2003 . Quote setting and price formation in an order driven market . J. Finan. Markets , 6 : 461 – 489 .
  • Harris , L . 1998 . Optimal dynamic order submission strategies in some stylized trading problems . Finan. Markets Inst. Instrum. , 7 : 26 – 74 .
  • Harris , LE and Hasbrouck , J . 1996 . Market vs. limit orders: The SuperDOT evidence on order submission strategy . J. Finan. Quant. Anal. , 31 : 213 – 231 .
  • Hasbrouck , J and Saar , G . 2007 . “ Technology and liquidity provision: the blurring of traditional definitions ” . In Working Paper , New York University .
  • Irvine , P , George , B and Kandel , E . 2000 . “ Liquidity beyond the inside spread: measuring and using information in the limit order book ” . In Working Paper , Emory University .
  • Kaniel , R and Liu , H . 2006 . So what orders do informed traders use? . J. Bus. , 79 : 1867 – 1913 .
  • Kavajecz , KA and Odders-White , ER . 2004 . Technical analysis and liquidity provision . Rev. Finan. Stud. , 17 : 1043 – 1071 .
  • Lo , AW , MacKinlay , AC and Zhang , J . 2002 . Econometric models of limit-order executions . J. Finan. Econ. , 65 : 31 – 71 .
  • Maddala , GS . 1983 . Limited-dependent and Qualitative Variables in Econometrics , New York : Cambridge University Press .
  • Mendelson , H and Tunca , TI . 2000 . “ Transaction costs information asymmetry and dynamic market design ” . Working Paper Stanford University .
  • McFadden , D . 1973 . “ Conditional logit analysis of qualitative choice behavior ” . In Frontiers in Econometrics , Edited by: Zarembka , P . 105 – 142 . New York : Acadamic Press .
  • McKelvey , R and Zavoina , W . 1975 . A statistical model for the analysis of ordinal level dependent variables . J. Math. Sociol. , 4 : 103 – 120 .
  • Moinas , S . 2004 . Hidden orders and liquidity on a limit order market . Working Paper ,
  • O'Hara , M . 2007 . Optimal microstructures . Eur. Finan. Manag. J. , 13 : 852 – 832 .
  • Pardo , A and Pascual , R . 2007 . “ On the hidden side of liquidity ” . Working Paper SSRN Library .
  • Parlour , CA . 1998 . Price dynamics and limit order markets . Rev. Finan. Stud. , 11 : 789 – 816 .
  • Pascual , R and Veredas , D . 2006 . Does the limit order book matter in explaining long-run volatility? . SSRN Working Paper ,
  • Ranaldo , A . 2004 . Order aggressiveness in limit order book markets . J. Finan. Markets , 7 : 53 – 74 .
  • Rosu , LA . 2005 . dynamic model of the limit order book . SSRN Working Paper ,
  • Seppi , D . 1997 . Liquidity provision with limit orders and a strategic specialist . Rev. Finan. Stud. , 10 : 103 – 150 .
  • Veall , MR and Zimmermann , KF . 1992 . Pseudo-R 2's in the ordinal probit mode . J. Math. Sociol. , 16 : 332 – 342 .
  • Veall , MR and Zimmermann , KF . 1996 . Pseudo-R 2 measures for some common limited dependent variable models . J. Econ. Surveys , 10 ( 3 ) : 241 – 259 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.