| |
Price Clustering Asymmetries in Limit Order Flows
|
نوع المصدر |
مقال
|
بيانات التأليف |
Box, Travis (Author)
Griffith, Todd (Author)
|
بيانات الدورية المصدر |
العنوان:
Financial management
|
|
رقم المجلد/ العدد: 2016/WINTER V.45 N.4
رقم الإستدعاء: 658.1505 FMA الموقع: Periodicals & References Hall - 2nd floor
|
الوصف المادي |
p 1041-1066
|
رأس الموضوع/ الواصفات |
Management
(7076)
|
|
|
المستخلص |
We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well-documented asymmetry in price response to marketable orders. In addition, we find that the degree of clustering is positively related to volatility and that asymmetry in clustering depends on whether stock prices are rising or falling—sell limit orders cluster more frequently as prices are rising, although buy limit orders cluster more as prices are declining. Our results indicate that predictable patterns in limit order pricing contribute to short-run deviations from price efficiency....
المستخلص الكامل
|
| المزيد من المقالات من
الدورية:
Financial management
(196)
العدد: 2016/WINTER V.45 N.4
|
|
| |
|
إبحث في المصادر الإلكترونية |
● |
● |
مواضيع ذات صلة |
|
|
|
|