The market impact of a limit order

DOI10.1016/J.JEDC.2011.09.012MaRDI QIDQ433360zbMATH OpenOpenAlexFDO

Authors Nikolaus Hautsch, Ruihong Huang

Publication date 13 July 2012

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://publikationen.ub.uni-frankfurt.de/files/7289/09_23.pdf

zbMATH Keywords

cointegrationprice impactimpulse response functionlimit order

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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• Price dynamics in a Markovian limit order market

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Impulse response analysis of cointegrated systems
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• More statistical properties of order books and price impact
• On a measure of lack of fit in time series models
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The impact of heterogeneous trading rules on the limit order book and order flows
• The price impact of order book events: market orders, limit orders and cancellations

Cited in

(45)

• On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach
• Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
• Identifying expensive trades by monitoring the limit order book
• Limit-order book resiliency after effective market orders: spread, depth and intensity
• scientific article; zbMATH DE number 7587392 (Why is no real title available?)
• Market impact and order book characteristics in the Korean futures market
• Price impact of large orders using Hawkes processes
• A weak law of large numbers for a limit order book model with fully state dependent order dynamics
• Market versus limit orders
• Optimal trade execution: a mean quadratic variation approach
• Optimal order execution using hidden orders
• A behavioural model of investor sentiment in limit order markets
• The dynamics of ex-ante weighted spread: an empirical analysis
• Resiliency of the limit order book
• The tick-by-tick dynamical consistency of price impact in limit order books
• Price impact and bursts in liquidity provision
• Linear models for the impact of order flow on prices. II: The mixture transition distribution model
• More statistical properties of order books and price impact
• Limit order books
• Hierarchical information and the rate of information diffusion
• Market impact: a systematic study of the high frequency options market
• Aggressive Orders and the Resiliency of a Limit Order Market*
• The effects of trade size and market depth on immediate price impact in a limit order book market
• The role of fleeting orders on option expiration days
• The immediate price impact of trades on the Australian Stock Exchange
• What drives the sensitivity of limit order books to company announcement arrivals?
• The impact of reduced pre-trade transparency regimes on market quality
• The effect of relaxing daily price limit: evidence from the ChiNext market of China
• Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
• Liquidity fluctuations and the latent dynamics of price impact
• Non-uniformly sampled simulated price impact of an order-book
• Market impact as anticipation of the order flow imbalance
• The price impact of order book events: market orders, limit orders and cancellations
• The impact of order flow on the foreign exchange market: a copula approach
• Advances in quantitative analysis of finance and accounting. Essays in microstructure in honor of David K. Whitcomb.
• Cross-impact of order flow imbalance in equity markets
• Liquidity and volatility in the U.S. Treasury market
• Into the microseconds: market relationships at the highest resolution using particle physics methodology
• Learning, information processing and order submission in limit order markets
• Optimal order display in limit order markets with liquidity competition
• Using full limit order book for price jump prediction
• Market or limit orders?
• Order book approach to price impact
• The power of patience: a behavioural regularity in limit-order placement
• Volatility modeling and prediction: the role of price impact

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