The Probability of Limit-Order Execution

Financial Analysts Journal

Volumn 56, Issue 5, 2000, Pages 28-33

  Cho, Jin Wan ^a   Nelling, Edward ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0043288842     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v56.n5.2387     Document Type: Article

References (5)

1. Cohen, K., S. Maier, R. Schwartz, and D. Whitcomb. 1981. "Transaction Costs, Order Placement Strategy, and the Existence of the Bid-Ask Spread." Journal of Political Economy, vol. 89, no. 2 (April):287-305.
2. Handa, P., and R. Schwartz. 1996. "Limit Order Trading." Journal of Finance, vol. 51, no. 5 (December):1835-61.
3. Harris, L., and J. Hasbrouck. 1996. "Market vs. Limit Orders: The SuperDot Evidence on Order Submission Strategy." Journal of Financial and Quantitative Analysis, vol. 31, no. 2 (June):213-231.
4. Hasbrouck, J. 1992. "Using the TORQ Database." Working paper, NYSE.
5. Seppi, D. 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist." Review of Financial Studies, vol. 10, no. 1 (Spring):103-150.