The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
John Cotter and
Kevin Dowd ()
MPRA Paper from University Library of Munich, Germany
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.
JEL-codes: G0 G20 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-mst and nep-rmg
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Citations: View citations in EconPapers (3)
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https://mpra.ub.uni-muenchen.de/3493/1/MPRA_paper_3493.pdf original version (application/pdf)
Related works:
Working Paper: The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders (2011) 
Journal Article: 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:pra:mprapa:3493
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