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

John Cotter and Kevin Dowd

Papers from arXiv.org

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.

Date: 2011-03
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-rmg
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http://arxiv.org/pdf/1103.5661 Latest version (application/pdf)

Related works:
Journal Article: The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders (2007)
Working Paper: The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1103.5661

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