کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961107 | 929784 | 2009 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Technology and liquidity provision: The blurring of traditional definitions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Limit orders are usually viewed as patiently supplying liquidity. We investigate the trading of one hundred Nasdaq-listed stocks on INET, a limit order book. In contrast to the usual view, we find that over one-third of nonmarketable limit orders are cancelled within two seconds. We investigate the role these “fleeting orders” play in the market and test specific hypotheses about their uses. We find evidence consistent with dynamic trading strategies whereby traders chase market prices or search for latent liquidity. We show that fleeting orders are a relatively recent phenomenon, and suggest that they have arisen from a combination of factors that includes improved technology, an active trading culture, market fragmentation, and an increasing utilization of latent liquidity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 12, Issue 2, May 2009, Pages 143-172
Journal: Journal of Financial Markets - Volume 12, Issue 2, May 2009, Pages 143-172
نویسندگان
Joel Hasbrouck, Gideon Saar,