Performance of market order execution strategy: the Australian evidence

Nuttawat Visaltanachoti (), Robin Hang Luo and Dongqiang Wang

Applied Economics Letters, 2007, vol. 14, issue 13, 945-949

Abstract: This study examines the performance of market order execution strategy in a pure limit order driven environment based on three bid-ask spread forecasting models. While a naive spread forecasting model based on previous day's spread and average 10 trading days' spread could deliver a cost saving of 3.94% and 14.87%, this benefit increases to 22.14% for a seasonal autoregressive moving average spread forecasting model. The empirical results are evident that the intraday spread forecasting benefits follow a downward-sloping pattern.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:14:y:2007:i:13:p:945-949

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600705927

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().