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Limit Orders (limit + order)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Terms modified by Limit Orders

  • limit order book
    		•

    Selected Abstracts

    A Parimutuel Market Microstructure for Contingent Claims

    EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2005
    Jeffrey Lange
    G10; G13; G14 Abstract Parimutuel principles are widely used as an alternative to fixed odds gambling in which a bookmaker acts as a dealer by quoting fixed rates of return on specified wagers. A parimutuel game is conducted as a call auction in which odds are allowed to fluctuate during the betting period until the betting period is closed or the auction ,called'. The prices or odds of wagers are set based upon the relative amounts wagered on each risky outcome. In financial microstructure terms, trading under parimutuel principles is characterised by (1) call auction, non-continuous trading; (2) riskless funding of claim payouts using the amounts paid for all of the claims during the auction; (3) special equilibrium pricing conditions requiring the relative prices of contingent claims equal the relative aggregate amounts wagered on such claims; (4) endogenous determination of unique state prices; and (5) higher efficiency. Recently, a number of large investment banks have adopted a parimutuel mechanism for offering contingent claims on various economic indices, such as the US Nonfarm payroll report and Eurozone Harmonised inflation. Our paper shows how the market microstructure incorporating parimutuel principles for contingent claims which allows for notional transactions, limit orders, and bundling of claims across states is constructed. We prove the existence of a unique price equilibrium for such a market and suggest an algorithm for computing the equilibrium. We also suggest that for a broad class of contingent claims, that the parimutuel microstructure recently deployed offers many advantages over the dominant dealer and exchange continuous time mechanisms. [source]

    Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior

    FINANCIAL MANAGEMENT, Issue 3 2005
    Keith Jakob
    Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada. [source]

    Price Clustering: Evidence Using Comprehensive Limit-Order Data

    FINANCIAL REVIEW, Issue 1 2009
    Chaoshin Chiao
    G14; G15 Abstract Employing comprehensive limit-order data which identify investor types, this paper examines the clustering pattern of limit-order prices. First, limit orders, particularly those submitted by individual investors (IIs), tend to cluster at integer and even prices. Second, nonmarketable limit-order prices cluster more than marketable limit-order prices, indicating that aggressive limit orders generally embed more information. Third, investors choosing even-priced limit orders are not penalized by lower execution ratios. Fourth, investors (particularly IIs) strategically exhibit front-running behavior. Fifth, price clustering indeed creates price barriers. Finally, the degree of price clustering using trade data is significantly underestimated, compared to that using limit-order data. [source]

    How is Futures Trading Affected by the Move to a Computerized Trading System?

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2006
    Lessons from the LIFFE FTSE 100 Contract
    Abstract:, We consider the impact of the May 1999 move to screen trading of the LIFFE FTSE 100 index futures contract. This resulted in a narrowing of the effective spread. Spread determinants are broadly similar in the two regimes. The narrowing of the spread appears due to increased competition among traders and a decline in tick-level volatility rather than to the way these or other variables affect the spread. Market depth appears largely unaffected. Under screen trading, realized spreads widen as more limit orders are taken up rather than in relation to order size per se. [source]

    Correlated Trading and Returns

    THE JOURNAL OF FINANCE, Issue 2 2008
    DANIEL DORN
    ABSTRACT A German broker's clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fully explain why retail investors trade similarly. Correlated market orders lead returns, presumably due to persistent speculative price pressure. Correlated limit orders also predict subsequent returns, consistent with executed limit orders being compensated for accommodating liquidity demands. [source]

    Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange

    THE JOURNAL OF FUTURES MARKETS, Issue 12 2009
    Robin K. Chou
    We investigate the strategic order-splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional traders and individual traders, foreign institutional traders and futures proprietary firms are more likely to split their orders and it appears that the price adjustments after their trades are permanent. Foreign institutional traders and futures proprietary firms seem to be better informed, with their orders apparently being split so as to reveal their information on a gradual basis. Furthermore, we find that foreign institutional traders and futures proprietary firms use fewer market orders, choosing instead to submit aggressive limit orders, possibly due to their desire to make the most of their information advantage. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:1102,1129, 2009 [source]

    Execution quality in open-outcry futures markets

    THE JOURNAL OF FUTURES MARKETS, Issue 11 2005
    Alexander Kurov
    This study examines the composition of customer order .flow and the execution quality for different types of customer orders in six futures pits of the Chicago Mercantile Exchange (CME). It is shown that off-exchange customers frequently provide liquidity to other traders by submitting limit orders. The determinants of customers' choice between limit and market orders are examined, and it is found that higher bid,ask spreads increase the limit-order submission frequency, and increased price volatility makes limit-order submission less likely. Effective spreads, trading revenues, and turnaround times for customer liquidity-demanding and limit orders are also documented. Consistent with evidence from equity markets, the results show that limit-order traders receive better executions than traders using liquidity-demanding orders, but incur adverse selection costs. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1067,1092, 2005 [source]

    Splitting the S&P 500 futures

    THE JOURNAL OF FUTURES MARKETS, Issue 12 2004
    Jianli Chen
    In this paper we investigate the consequences of the Chicago Mercantile Exchange's 1997 redesign of the S&P 500 futures contract. The focus is on two important measures of exchange efficacy: member proprietary income and outside customer volume. Floor traders did not appear to benefit in their proprietary trading from the redesign,revenue fell after the contract split and doubling of the minimum tick. On the other hand, looking at relative volumes, it appears that customer volume was relatively constant, showing little sensitivity to the increase in tick size, possibly due to an increased use of limit orders by customers, bypassing floor traders. Through this redesign the futures exchange was apparently interested in preserving customer volume in an increasingly competitive index trading environment, not enhancing member noncompetitive proprietary trading revenue. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1147,1163, 2004 [source]