Intra-Day Seasonality in Foreign Market Transactions

John Cotter and Kevin Dowd
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Kevin Dowd: The University of Nottingham, UK

No 200745, Working Papers from Geary Institute, 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 (search for similar items in EconPapers)
JEL-codes: G1 G15 G32 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2011-06-24
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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200745.pdf (application/pdf)

Related works:
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
Working Paper: Intra-Day Seasonality in Foreign Market Transactions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:2007/45

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