The power of patience: A behavioural regularity in limit-order placement

Quantitative Finance

Volumn 2, Issue 5, 2002, Pages 387-392

  Zovko, Ilija ^a,b   Doyne Farmer, J ^a  

^a SANTA FE INSTITUTE   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037871357     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/2/5/308     Document Type: Article

References (15)

1. Angel J 1994 Limit vs. market orders, unpublished working paper
2. 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. Finance 50 1655–89
3. Bollerslev T 1986 Generalized autoregressive conditional heteroskedasticity J. Econometrics 31 307–27
4. Bollerslev T and Domowitz I 1991 Price volatility, spread variability, and the role of alternative market mechanisms Rev. Futures Markets 10 79–102
5. Bouchaud J-P, Mezard M and Potters M 2002 Statistical properties of the stock order books: empirical results and models Quantitative Finance 2 251–6
6. Daniels M, Farmer J D, Iori G and Smith D E 2001 How storing supply and demand affects price diffusion Preprint http://xxx.lanl.gov/cond-mat/0112422
7. Engle R 1982 Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation Econometrica 50 987–1007
8. Harris L and Hasbrouck J 1996 Market vs. limit orders: the Super DOT evidence on order submission strategy J. Financial Quant. Anal. 31 213–31
9. Holden C and Chakravarty S 1995 An integrated model of market and limit orders J. Financial Intermediation 4 213–41
10. Kavajecz K and Odders-White E 2001 Volatility and market structure J. Financial Markets 4 359–84
11. Lo A, MacKinlay C and Zhang J 2002 Econometric models of limit-order executions J. Financial Economics 65 31–71
12. Nirei M, private communication.
13. Peterson M and Sirri E 2002 Order submission strategy and the curious case of marketable limit orders J. Financial Quant. Anal. 37 221–41
14. Plerou V, Gopikrishnan P, Amaral L A N, Gabaix X and Stanley H E 1999 Scaling of the distribution of price fluctuations of individual companies Preprint http://xxx.lanl.gov/cond-mat/9907161.
15. Theiler J, Galdrikian B, Longtin A, Eubank S and Farmer J D 1992 Detecting nonlinear structure in time series Physica D 58 77–94