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This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
The price impact of order book events: market orders, limit orders and cancellations
price impact market orders limit orders cancellations market microstructure order flow
2010/10/29
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce...
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
limit orders market orders tail risks
2011/3/31
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system b...