Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 14 of 14 for “"Limit Orders"”.
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Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders
… Moreover, we model the evolution of market limit orders in completely continuous settings using such equations, derive parameter estimation schemes using maximum likelihood and least mean-square-errors methods under certain criteria, and settle the investment optimization problem in both …
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The analysis of limit orders using the Cox proportional hazards model with independent competing risks
… of executed, cancelled, and partially executed limit orders submitted for Microsoft to the Island ECN for one day. The instantaneous probability of execution increases with decreases in the buy order price but increases to the sell order price, increases in volume on the sell side of the market …
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Two Essays on Financial Economics
… the paper entitled ""Eighthing and Hidden Limit Orders"". It explores how strategic traders can exploit the implicit inelastic demand in large limit orders by submitting their own limit orders that offer (generally) one tick price improvement, and then using the large limit order as an …
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Three essays on the market microstructure of the Saudi stock market
Using data sets on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interaction between the order …
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Essays in Market Microstructure
… are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets.The second essay empirically examines …
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Order Behavior In High Frequency Markets
… Part 1, I study the characteristics of short orders in stock markets. Fleeting orders are quick limit orders that remain on the limit order book for only a few seconds before being canceled, and are significantly different than more patient, static, limit orders that are added to the limit …
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Trading Dynamics in a Fragmented Market
… order to correctly asses the placement of their orders. We find evidence that because</p> <p>of their impatient nature, these traders react to all events that negatively affect the position of</p> <p>their orders, regardless of the venue of origin. This behavior results in an order flow that is …
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Three Essays On: Cancelling Liquidity, Information Generation And Learning By Holding Privately Placed Securities, And Information Generation, Learning And The Trading Dynamics Of Institutional Traders During The 2007-2008 Financial Crisis
… first essay examines cancellation activity of limit orders. We document a two-fold increase in limit order cancellation activity over the last decade, and study the determinants of cancellations and the change in cancellation activity through time. We also examine the impact of order …
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Order Execution Quality in Equity Options Markets
… the effects of an order cancellation fee on limit order behavior and execution quality on the NASDAQ OMX PHLX. We find that the cancellation fee is effective in reducing the rate at which limit orders are submitted and subsequently deleted. Order volume declines, however, the remaining …
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Trading in Electronic Markets: The Challenges of Imperfect Liquidity and Reduced Pre-Trade Transparency
… and transparency. First, I approach the issue of limited liquidity through the optimal order placement problem of a risk-averse trader in a continuous time context and introduce a random delay parameter, which defers limit order execution and characterises market liquidity. This framework …
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Is liquidity provision that informative? Evidence from commodity futures markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Stochastic Models of Limit Order Markets
… the world transitioned to electronic trading in limit order books, creating a need for a new set of quantitative models to describe these order-driven markets. This dissertation offers a collection of models that provide insight into the structure of modern financial markets, and can help to …
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Essays on stock exchanges speed competition, designs and high-frequency trading
… requires an exchange to route its customers' orders to other exchanges with better prices. Faster exchanges attract more price-improving limit orders because the probability of being bypassed by trades with inferior prices on other exchanges is reduced. When all exchanges speed up, this …
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Price volatility and liquidity cost in grain futures markets
… forecasting, the reduction in forecast errors is limited. While long memory forecasts have slightly fewer rejections of unbiasness, their improvement relative to short memory forecasts is marginal. Modeling seasonality is important for better forecasting performance in these markets. The second …