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Browsing by Author "Huang, Ruihong"
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2012-07-05DissertationFour essays on the econometric analysis of high-frequency order data Huang, RuihongDiese Arbeit enthält vier Aufsätze über die Beziehungen zwischen Handelsstrategien auf Aktienmärkten und dem Zustand des Marktes. Es werden ökonometrische Methoden angewendet um den Markteinfluss von limit order Platzierungen, ...
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2011-08-25BuchLimit Order Flow, Market Impact and Optimal OrderSizes Evidence from NASDAQ TotalView-ITCH DataHautsch, Nikolaus; Huang, RuihongIn this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit ...
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2012-02-09BuchOn the Dark Side of the Market Identifying and Analyzing Hidden Order PlacementsHautsch, Nikolaus; Huang, RuihongTrading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders’ use of (completely) hidden orders which might be placed even inside of the (displayed) ...
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2009-10-28BuchThe Market Impact of a Limit Order Hautsch, Nikolaus; Huang, RuihongDespite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit ...