The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders

John Cotter and Kevin Dowd

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

Abstract: 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 based on completed transactions rather than the more common analysis of indicative quotes. In general, limit and market orders exhibit broadly similar tail behaviour, but limit orders have significantly heavier tails and larger tail quantiles than market orders.

Keywords: Limit orders; Market orders; Tail risks; International finance; Extreme value theory; Financial risk (search for similar items in EconPapers)
JEL-codes: G1 G15 G32 (search for similar items in EconPapers)
Date: 2007-05
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10197/1151 First version, 2007 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1151

Access Statistics for this paper

More papers in Centre for Financial Markets Working Papers from Research Repository, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Joseph Greene ().