The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system |
| |
Authors: | Ingrid Lo Stephen G. Sapp |
| |
Affiliation: | aFinancial Markets Department, The Bank of Canada, Ottawa, Ontario K1A 0G9, Canada;bRichard Ivey School of Business, University of Western Ontario, London, Ontario N6A 3K7, Canada |
| |
Abstract: | Recent work in the market microstructure literature suggests that the speed with which orders arrive in the market impacts traders' order submission decisions. In this study we use an asymmetric autoregressive conditional duration (ACD) model to empirically investigate the influence on the submission of limit and market orders of changes in the time between the past submissions of different types of orders, changes in the slope of the limit order book, and changes in price uncertainty. We find that the expected time between the arrivals of successive orders in the foreign exchange market depends on the previous type of order submitted and the slope on both sides of the order book. Price uncertainty (volatility) plays a secondary role after accounting for the impact of changes in the slope of the order book. Lastly, we find that there are fundamental changes in the level of information contained in the submission of orders at the opening and closing of markets. |
| |
Keywords: | Market microstructure Limit order Market order Liquidity Duration |
本文献已被 ScienceDirect 等数据库收录! |
|