Monitoring and limit order submission risks

Journal of Financial Markets

Volumn 12, Issue 1, 2009, Pages 107-141

  Liu, Wai Man ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Free trading option; Limit orders; News monitoring; Non execution risk

Indexed keywords

EID: 58149295393     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2008.04.003     Document Type: Article

References (41)

1. Angel J., 1994. Limit versus market orders. Working paper, Georgetown University.
2. Bhushan R. Firm characteristics and analyst following. Journal of Accounting and Economics 11 (1989) 255-274
3. Berkman, H., 1996. Large option trades, market makers and limit orders. Review of Financial Studies 9, 977-1002.
4. Biais B., Hillion P., and Spatt C. An empirical analysis of the limit order book and order flow in the Paris Bourse. Journal of Finance 50 (1995) 1655-1689
5. Black F. Equilibrium exchanges. Financial Analysts Journal 51 (1995) 23-29
6. Brockman P., and Chung D.Y. Informed and uninformed trading in an electronic, order-driven environment. The Financial Review 35 (2000) 125-146
7. Brown, D., Holden, C.W., 2002. Adjustable limit orders. Working paper, Indiana University.
8. Cameron A.C., and Trivedi P.K. Econometric models based on count data: comparisons and applications of some estimators and tests. Journal of Applied Econometrics 1 (1986) 29-53
9. Cameron A.C., and Trivedi P.K. Regression Analysis of Count Data (1998), Cambridge University Press, Cambridge
10. Cameron A.C., and Windmeijer F.A.G. R-Squared measures for count data regression models with applications to health care utilization. Journal of Business and Economic Statistics 14 (1996) 209-220
11. Copeland T.E., and Galai D. Information effects on the bid-ask spread. Journal of Finance 38 (1983) 1457-1469
12. Coppejans, M., Domowitz, I., 2002. Screen information, trader activity, and bid-ask spreads in a limit order market. Working paper, Pennsylvania State University.
13. Cordella T., and Foucault T. Minimum price variations, time priority and quote dynamics. Journal of Financial Intermediation 8 (1999) 141-173
14. Corin S.A., and Lipson M.L. Order flow and liquidity around NYSE trading halts. Journal of Finance 55 (2000) 1771-1801
15. Easley D., Kiefer N.M., O'Hara M., and Paperman J.B. Liquidity, information, and infrequently traded stocks. Journal of Finance 51 (1996) 1405-1436
16. Economides, N., Schwartz, R.A., 1995. Equity trading practices and market structure: assessing asset managers' demand for immediacy. Financial Markets, Institutions and Instruments 4, 1-46.
17. Ellul, A., Holden, C.W., Jain, P., Jennings, R.H., 2007. Order dynamics: recent evidence from the NYSE Journal of Empirical Finance 14, 636-661.
18. Foucault T. Order flow composition and trading costs in a dynamic limit order market. Journal of Financial Market 2 (1999) 99-134
19. Foucault T., Röell R., and Sandås P. Market making with costly monitoring: an analysis of the SOES controversy. Review of Financial Studies 16 (2003) 345-384
20. Freeman R.N. The association between accounting earnings and security returns for large and small firms. Journal of Accounting and Economics 9 (1987) 195-228
21. Gadarowski, C., 2002. Financial press coverage and expected stock returns. Working paper, Cornell University.
22. Glosten L. Is the electronic open limit order book inevitable?. Journal of Finance 49 (1994) 1127-1161
23. Goettler R.L., Parlour C.A., and Rajan U. Equilibrium in a dynamic limit order market. Journal of Finance 60 (2005) 2149-2192
24. Greenwood M., and Yule G.U. An inquiry into the nature of frequency distributions. Journal of the Royal Statistical Society 83 (1920) 255-279
25. Griffiths M.D., Smith B.F., Turnbull D.A.S., and White R.W. The costs and determinants of order aggressiveness. Journal of Financial Economics 56 (2000) 68-88
26. Handa P., and Schwartz R. Limit order trading. Journal of Finance 51 (1996) 1835-1861
27. Harris L. Optimal dynamic order submission strategies in some stylized trading problems. Financial Markets, Institutions and Instruments 7 (1998) 1-76
28. Harris L. Trading and Exchanges (2003), Oxford University Press, New York
29. Hasbrouck, J., Saar, G., 2002. Limit orders and volatility in a hybrid markets: the Island ECN. Working paper, New York University.
30. Hong H., Lim T., and Stein J. Bad news travel slowly: size, analyst coverage and the profitability of momentum strategies. Journal of Finance 55 (2000) 265-295
31. Katz, L., 1963. Unified treatment of a broad class of discrete probability distribution. In: Patil, G.P. (Ed.), Proceedigs of the International Symposium on Discrete Distribution. Statistical Publishing, Calcutta.
32. Liu, W.-M,. Sawyer, K.R., 2003. How free are free trading options? Pacific-Basin Finance Journal 11, 573-591.
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 markets. Journal of Financial Markets 7 (2004) 53-74
35. Rock S., Sedo S., and Willenborg M. Analyst following and count-data econometrics. Journal of Accounting and Economics 30 (2001) 351-373
36. Sandas, P., 2001. Adverse selection and competitive market making: empirical evidence form a limit order market. Review of Financial Studies 14, 705-734.
37. Stoll H. Principles of trading market structure. Journal of Finance Services Research 6 (1992) 75-107
38. Stoll H. Market microstructure. In: Constantinides G.M., Harris M., and Stulz R.M. (Eds). Handbook of the Economics of Finance vol. 1A (2003), Elsevier, Amsterdam 2003
39. Winkelmann R. Econometric Analysis of Count Data (1997), Springer, Berlin
40. Wood R.A., McInish T.H., and Ord J.K. An investigation of transaction data for NYSE tocks. Journal of Finance 40 (1985) 723-739
41. Yeo W. Cancellation of limit orders (2005), Working paper, National University of Singapore