Econometric Models of Limit-Order Executions

By Andrew W. Lo, A. Mackinlay, June Zhang, Jushan Bai, David M. Cushing, R. Ferstenberg, H. Fram, Joachim Grammig, Lawrence E. Harris, Joel Hasbrouck and 5 more. 2002

254 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/c9c81299b30ce480ea4b367b051ed780a1ad68b4

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In Economics and Econometrics

Citations in the corpus

Limit order book as a market for liquidity (2001, unknown): “Consider a continuous market for a single security, organized as a limit order book without intermediaries.”
Modelling high-frequency limit order book dynamics with support vector machines (2015, background): “…other hand, machine learning methods, owing to their Data-driven characteristics and light-weight computation, have been applied to a variety of ﬁnancial markets such as liquidity and volatility in bonds and index trading (Lo et al. 1997, Crammer and Singer 2001, Tino et al. 2005, Hasbrouck 2006).”
Limit Order Markets: A Survey 1 (2008, background): “On the one hand, Lo, MacKinlay, and Zhang (2002) use survival analysis to show that limit order execution times are decreasing in the aggressiveness of limit prices.”
A Dynamic Model of the Limit Order Book (2009, unknown): “Parlour (1998) proposes a two-tick model where traders choose between limit orders and market orders after taking into account the effect of their decision on future traders’ strategies; the model can explain various patterns in order placement strategies, including the comovement effect.”
Does Algorithmic Trading Improve Liquidity (2011, background): “Smith, Turnbull, and White (2000), Lo, MacKinlay, and Zhang (2002) , Boehmer, Saar, and Yu (2005), Hasbrouck and Saar (2007), Obizhaeva and Wang (2005))”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, unknown): “Cho and Nelling (2000) and Lo, MacKinlay, and Zhang (2002) estimate duration models, but their focus is on execution, with cancellation being taken as an exogenous censoring process.”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “reasoning, Moinas (2006) presents a theoretical model where the display of a large limit order can decrease the execution probability, as defensive traders withdraw their trading interests.”
The power of patience: a behavioural regularity in limit-order placement (2002, unknown): “[4] To avoid overcrowding, we have averaged together nearby bins, which is why the plots appear to violate the normalization condition.”