Econometric models of limit-order executions

• 成果类型: Article
• 署名作者: Lo, AW; MacKinlay, AC; Zhang, J
• 署名单位: Massachusetts Institute of Technology (MIT); University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00134-4
• 发表日期: 2002
• 页码: 31-71
• 关键词: Market microstructure; transactions costs; Portfolio management

摘要

We develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. We estimate versions for time-to-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive to the limit price, but are not sensitive to limit size. Hypothetical limit-order executions, constructed either theoretically from first-passage times or empirically from transactions data, are very poor proxies for actual limit-order executions. (C) 2002 Elsevier Science B.V. All rights reserved.