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2011-08-25Buch DOI: 10.18452/4344
Limit Order Flow, Market Impact and Optimal OrderSizes
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorHuang, Ruihong
dc.date.accessioned2017-06-16T00:27:13Z
dc.date.available2017-06-16T00:27:13Z
dc.date.created2011-09-12
dc.date.issued2011-08-25
dc.date.submitted2011-08-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4996
dc.description.abstractIn 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 orders with sizes equal to a round lot. Most limit orders are canceled almost immediately after submission if not getting executed. Moreover, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of impulse-response functions on the basis of a cointegrated VAR model for quotes and market depth allow us to quantify the market impact of incoming limit orders. We propose a method to predict the optimal size of a limit order conditional on its position in the book and a given fixed level of expected market impact.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectimpulse response functioneng
dc.subjectcointegrationeng
dc.subjectprice impacteng
dc.subjectlimit ordereng
dc.subjectoptimal order sizeeng
dc.subject.ddc330 Wirtschaft
dc.titleLimit Order Flow, Market Impact and Optimal OrderSizes
dc.typebook
dc.subtitleEvidence from NASDAQ TotalView-ITCH Data
dc.identifier.urnurn:nbn:de:kobv:11-100192684
dc.identifier.doihttp://dx.doi.org/10.18452/4344
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages33
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue56
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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