Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/92518
DC Field | Value | Language |
---|---|---|
dc.contributor | School of Accounting and Finance | en_US |
dc.creator | Park, SG | en_US |
dc.creator | Ryu, D | en_US |
dc.date.accessioned | 2022-04-13T00:56:29Z | - |
dc.date.available | 2022-04-13T00:56:29Z | - |
dc.identifier.issn | 0927-538X | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/92518 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2018 Elsevier B.V. All rights reserved. | en_US |
dc.rights | © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | en_US |
dc.rights | The following publication Park, S. G., & Ryu, D. (2019). Speed and trading behavior in an order-driven market. Pacific-Basin Finance Journal, 53, 145-164 is available at https://doi.org/10.1016/j.pacfin.2018.10.016 | en_US |
dc.subject | Limit order market | en_US |
dc.subject | Low-latency | en_US |
dc.subject | Market order | en_US |
dc.subject | Marketable limit order | en_US |
dc.subject | Order submission | en_US |
dc.title | Speed and trading behavior in an order-driven market | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.description.otherinformation | Title on author’s file: Speed and trading behavior in an order-driven market : an analysis on a high quality dataset | en_US |
dc.identifier.spage | 145 | en_US |
dc.identifier.epage | 164 | en_US |
dc.identifier.volume | 53 | en_US |
dc.identifier.doi | 10.1016/j.pacfin.2018.10.016 | en_US |
dcterms.abstract | This paper examines how the speed of order submission affects investor behavior when submitting orders in an order-driven market. We provide a theoretical model where the speed of investor and limit order placement is non-monotonic. This is rationalized by mid-speed traders submitting initial orders further away from the market price to avoid order pick-offs by faster traders when the underlying asset changes, at the same time, they can still benefit by revising quotes against slower traders. We also show that market orders and marketable limit orders are used differently depending on investor speed. Fast traders prefer marketable limit orders to market orders more than slow traders do, since slow traders face higher costs of marketable-intended limit orders when an order is not executed immediately. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Pacific basin finance journal, Feb. 2019, v. 53, p. 145-164 | en_US |
dcterms.isPartOf | Pacific basin finance journal | en_US |
dcterms.issued | 2019-02 | - |
dc.identifier.scopus | 2-s2.0-85055999954 | - |
dc.description.validate | 202204 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | RGC-B1-058, AF-0105 | en_US |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | School of Accounting and Finance at Hong Kong Polytechnic University | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Park_Speed_Trading_Behavior.pdf | Pre-Published version | 1.99 MB | Adobe PDF | View/Open |
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