Order dynamics: Recent evidence from the NYSE

Journal of Empirical Finance

Volumn 14, Issue 5, 2007, Pages 636-661

  Ellul, Andrew ^a   Holden, Craig W ^a   Jain, Pankaj ^b   Jennings, Robert ^a  

^a INDIANA UNIVERSITY   (United States)

^b UNIVERSITY OF MEMPHIS   (United States)

Author keywords

Automatic execution; Limit order; Market order; Order choice

Indexed keywords

EID: 35648961988     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2007.02.002     Document Type: Article

References (41)

1. Anand A., Chakravarty S., and Martell T. Empirical evidence on the evolution of liquidity: choice of market versus limit orders by informed and uninformed investors. Journal of Financial Markets 8 (2005) 265-287
2. Bae K.-H., Jang H., and Park K. Traders' choice between limit and market orders: evidence from NYSE stocks. Journal of Financial Markets 6 (2003) 517-538
3. Bacidore J., Battalio R., and Jennings R. Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange. Journal of Financial Markets 6 (2003) 337-362
4. Barclay M., and Hendershott T. Price discovery and trading after hours. Review of Financial Studies 16 (2003) 1041-1073
5. Beber, A., Caglio, C., 2002. "Orders submission strategies and information: empirical evidence from the NYSE," unpublished paper, University of Pennsylvania.
6. Biais B., Hillion P., and Spatt C. An empirical analysis of the limit-order book and the order flow in the Paris bourse. Journal of Finance 50 (1995) 1655-1689
7. Bloomfield R., O'Hara M., and Saar G. The 'make or take' decision in an electronic market: evidence on the evolution of liquidity. Journal of Financial Economics 75 (2005) 165-200
8. Blume M., Easley D., and O'Hara M. Market statistics and technical analysis: the role of volume. Journal of Finance 49 (1994) 153-181
9. Boehmer E. Dimensions of execution quality: recent evidence for U.S. equity markets. Journal of Financial Economics 78 (2005) 553-582
10. Brown D., and Jennings R. On technical analysis. Review of Financial Studies 2 (1990) 527-552
11. Campbell J., Grossman S., and Wang J. Trading volume and serial correlation in stock returns. Quarterly Journal of Economics 108 (1993) 906-939
12. Chakravarty S., and Holden C. An integrated model of market and limit orders. Journal of Financial Intermediation 4 (1995) 213-241
13. Chakravarty S., Wood R., and Van Ness R. Decimals and liquidity: a study of the NYSE. Journal of Financial Research 27 (2004) 75-94
14. Chung K., Van Ness B., and Van Ness R. Limit orders and the bid-ask spread. Journal of Financial Economics 53 (1999) 255-287
15. Cohen K., Maier S., Schwartz R., and Whitcomb D. Transactions costs, order placement strategy, and existence of the bid-ask spread. Journal of Political Economy 89 (1981) 287-305
16. Cushing D., and Madhavan A. Stock returns and trading at the close. Journal of Financial Markets 3 (2000) 45-62
17. Easley D., Kiefer N., and O'Hara M. One day in the life of a very common stock. Review of Financial Studies 10 (1997) 805-835
18. Foucault T. Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Markets 2 (1999) 99-134
19. Foucault T., Kadan O., and Kandel E. Limit order book as a market for liquidity. Review of Financial Studies 18 (2005) 1171-1217
20. Goettler R., Parlour C., and Rajan U. Equilibrium in a dynamic limit order market. Journal of Finance 60 (2005) 2149-2192
21. Greene J., and Watts S. Price discovery on the NYSE and NASDAQ: the case of overnight and daytime news releases. Financial Management 25 (1996) 19-42
22. Griffiths M., Smith B., Turnbull D., and White R. Information flows and open outcry: evidence of imitation trading. Journal of International Financial Markets, Institutions & Money 8 (1998) 101-116
23. Hall A., and Hautsch N. Order aggressiveness and order book dynamics. Empirical Economics 30 (2004) 973-1005
24. Handa P., and Schwartz R. Limit order trading. Journal of Finance 51 (1996) 1835-1861
25. Harris L. Optimal dynamic order submission strategies in some stylized trading problems. Financial Markets, Institutions & Instruments 7 (1998) 1-75
26. Hollifield B., Miller R., and Sandås P. An empirical analysis of limit order markets. Review of Economic Studies 71 (2004) 1027-1063
27. Kaniel R., and Liu H. So what orders do informed traders use?. Journal of Business 79 (2005) 1867-1913
28. Kavajecz K. A specialist's quoted depth and the limit order book. Journal of Finance 54 (1999) 747-772
29. Kavajecz K., and Odders-White E. Technical analysis and liquidity provision. Review of Financial Studies 17 (2004) 1043-10471
30. Keim D., and Madhavan A. Transaction costs and investment style: an inter-exchange analysis of institutional equity trades. Journal of Financial Economics 46 (1997) 265-292
31. Madhavan A., and Sofianos G. An empirical analysis of NYSE specialist trading. Journal of Financial Economics 48 (1998) 189-210
32. Osler C. Currency orders and exchange rate dynamics: an explanation for the predictive success of technical analysis. Journal of Finance 58 (2003) 1791-1819
33. Parlour C. Price dynamics in limit order markets. Review of Financial Studies 11 (1998) 789-816
34. Ranaldo A. Order aggressiveness in limit order book markets. Journal of Financial Markets 7 (2004) 53-74
35. Roth A., Murnigham K., and Schoumaker F. The deadline effect in bargaining: some experimental evidence. American Economic Review 78 (1988) 806-823
36. Smith, J., 2000. "Market versus limit order submission behavior at a Nasdaq market maker," Unpublished paper, Nasdaq Economic Research.
37. United States Securities and Exchange Commission. Report on Comparison of Order Executions Across Equity Market Structures (2001), Office of Economic Analysis
38. United States Securities and Exchange Commission. Disclosure of Order Execution and Routing Practices (2001), Office of Economic Analysis
39. Wald J., and Horrigan H. Optimal limit order choice. Journal of Business 78 (2005) 597-619
40. Wall Street Journal. NYSE Mega-Merger Gets Closer (2006) C1 May 24
41. Yeo, W., 2002. "Persistent pattern in limit order submission," unpublished paper, Indiana University.