scholarly journals Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders

2019 ◽  
Vol 10 (3) ◽  
pp. 790-814 ◽  
Author(s):  
Álvaro Cartea ◽  
Luhui Gan ◽  
Sebastian Jaimungal
Keyword(s):  
Market Orders

Sustainability and Scale: US Milk-Market Orders as Relocalization Policy

2008 ◽  
Vol 40 (8) ◽  
pp. 1987-2005 ◽  
Author(s):  
E Melanie DuPuis ◽  
Daniel Block
Keyword(s):  
Market Orders ◽  
Milk Market

scholarly journals The unmaking of a commodity: Intermediation and the entanglement of power cables in Nigeria

2018 ◽  
Vol 50 (6) ◽  
pp. 1295-1313 ◽  
Author(s):  
Heidi Østbø Haugen
Keyword(s):  
Main Part ◽  
International Standards ◽  
Power Cables ◽  
Meso Level ◽  
Ethnographic Fieldwork ◽  
Market Orders

Nigerians once trusted power cables to be safe and compliant with international standards. Today, however, the Nigerian market is rife with substandard cables, which may overheat, shoot out sparks, and cause fires. Power cables have been transformed from commodities with stable and precisely defined properties into entangled objects that can only be known through the actors accompanying them. Marketization scholarship has conventionally focused on efforts and investments to disentangle things from their networks of connections, affording less attention to the specifics of how entanglements are produced. This article examines the role of intermediation in creating entanglements and undermining market orders. The analysis first identifies intermediaries that endeavor to translate the market logic into concrete realities in Nigeria. The second and main part of the analysis draws upon data from ethnographic fieldwork in Nigeria and China to assess how intermediaries destabilized the commodity of cables by forging new connections between traders and producers and by enabling inferior products to enter the market. The article proposes intermediation as a meso-level concept for connecting concrete and empirically observable events to theories of marketization. The approach moves marketization scholarship forward and away from its oft-vague operationalizations, while also suggesting new avenues for research on intermediation beyond the study of markets.

scholarly journals Trade informativeness and liquidity in Bitcoin markets

PLoS ONE ◽  
2021 ◽  
Vol 16 (8) ◽  
pp. e0255515
Author(s):  
J. Christopher Westland
Keyword(s):  
Trading Volume ◽  
Limit Order Book ◽  
Small Sample ◽  
Market Liquidity ◽  
Order Book ◽  
Information Asymmetries ◽  
Limit Order ◽  
Limit Orders ◽  
Market Orders ◽  
Book Markets

Liquid markets are driven by information asymmetries and the injection of new information in trades into market prices. Where market matching uses an electronic limit order book (LOB), limit orders traders may make suboptimal price and trade decisions based on new but incomplete information arriving with market orders. This paper measures the information asymmetries in Bitcoin trading limit order books on the Kraken platform, and compares these to prior studies on equities LOB markets. In limit order book markets, traders have the option of waiting to supply liquidity through limit orders, or immediately demanding liquidity through market orders or aggressively priced limit orders. In my multivariate analysis, I control for volatility, trading volume, trading intensity and order imbalance to isolate the effect of trade informativeness on book liquidity. The current research offers the first empirical study of Glosten (1994) to yield a positive, and credibly large transaction cost parameter. Trade and LOB datasets in this study were several orders of magnitude larger than any of the prior studies. Given the poor small sample properties of GMM, it is likely that this substantial increase in size of datasets is essential for validating the model. The research strongly supports Glosten’s seminal theoretical model of limit order book markets, showing that these are valid models of Bitcoin markets. This research empirically tested and confirmed trade informativeness as a prime driver of market liquidity in the Bitcoin market.

scholarly journals An Evaluation of Market Order Grade Changes Using Covariance Analysis

1972 ◽  
Vol 4 (1) ◽  
pp. 107-111 ◽  
Author(s):  
John P. Nichols
Keyword(s):  
Fruits And Vegetables ◽  
Covariance Analysis ◽  
Agricultural Products ◽  
Federal Legislation ◽  
Agricultural Commodity ◽  
Market Order ◽  
Minimum Standards ◽  
Market Orders

Market orders authorized under both State and Federal legislation have long been employed to regulate the marketing of many agricultural products, especially fruits and vegetables. While their purposes vary and controls provided for differ, one provision that is common to a large number of orders allows the establishment of minimum standards of grade, maturity, or other characteristics of quality in the marketing of an agricultural commodity. These standards are usually set by the marketing order committee composed of producer and shipper members of the industry, subject to the approval of the Secretary of Agriculture.

High Frequency Asymptotics for the Limit Order Book

2016 ◽  
Vol 02 (01) ◽  
pp. 1650004 ◽  
Author(s):  
Peter Lakner ◽  
Josh Reed ◽  
Sasha Stoikov
Keyword(s):  
Poisson Process ◽  
High Frequency ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Limit Orders ◽  
Long Run ◽  
Frequency Regime ◽  
Market Orders ◽  
The One

We study the one-sided limit order book corresponding to limit sell orders and model it as a measure-valued process. Limit orders arrive to the book according to a Poisson process and are placed on the book according to a distribution which varies depending on the current best price. Market orders to buy periodically arrive to the book according to a second, independent Poisson process and remove from the book the order corresponding to the current best price. We consider the above described limit order book in a high frequency regime in which the rate of incoming limit and market orders is large and traders place their limit sell orders close to the current best price. Our first set of results provide weak limits for the unscaled price process and the properly scaled measure-valued limit order book process in the high frequency regime. In particular, we characterize the limiting measure-valued limit order book process as the solution to a measure-valued stochastic differential equation. We then provide an analysis of both the transient and long-run behavior of the limiting limit order book process.

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