Empirical analysis of limit order markets

• 成果类型: Article
• 署名作者: Hollifield, B; Miller, RA; Sandås, P
• 署名单位: Carnegie Mellon University; University of Pennsylvania
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2004.00313.x
• 发表日期: 2004
• 页码: 1027-1063
• 关键词: nonparametric-estimation; CHOICE; COSTS; book; ask

摘要

We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order submission strategy is a monotone function of a trader's valuation for the asset. We test the monotonicity restriction in a sample of order submissions and their realized outcomes from the Stockholm Stock Exchange. We do not reject the monotonicity restriction for buy orders or sell orders considered separately, but reject the monotonicity restriction for buy and sell orders considered jointly.