Order Aggressiveness Strategies by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.2326816 ◽

2013 ◽

Author(s):

Junmao Chiu ◽

Huimin Chung ◽

George H. K. Wang

Keyword(s):

Limit Order ◽

Index Futures ◽

Limit Order Market

Download Full-text

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

Journal of Futures Markets ◽

10.1002/fut.21586 ◽

2012 ◽

Vol 34 (2) ◽

pp. 145-172 ◽

Cited By ~ 11

Author(s):

Junmao Chiu ◽

Huimin Chung ◽

George H. K. Wang

Keyword(s):

Limit Order ◽

Index Futures ◽

Liquidity Provision ◽

Limit Order Market ◽

Intraday Liquidity

Download Full-text

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1974142 ◽

2011 ◽

Author(s):

Junmao Chiu ◽

Huimin Chung ◽

George H. K. Wang

Keyword(s):

Limit Order ◽

Index Futures ◽

Liquidity Provision ◽

Limit Order Market ◽

Intraday Liquidity

Download Full-text

Weather and Time Series Determinants of Liquidity in a Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1108862 ◽

2009 ◽

Cited By ~ 10

Author(s):

Juhani T. Linnainmaa ◽

Ioanid Rosu

Keyword(s):

Time Series ◽

Limit Order ◽

Limit Order Market

Download Full-text

Undisclosed Orders and Optimal Submission Strategies in a Dynamic Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1100303 ◽

2011 ◽

Cited By ~ 10

Author(s):

Sabrina Buti ◽

Barbara Rindi

Keyword(s):

Limit Order ◽

Limit Order Market

Download Full-text

Undisclosed orders and optimal submission strategies in a limit order market

Journal of Financial Economics ◽

10.1016/j.jfineco.2013.04.002 ◽

2013 ◽

Vol 109 (3) ◽

pp. 797-812 ◽

Cited By ~ 31

Author(s):

Sabrina Buti ◽

Barbara Rindi

Keyword(s):

Limit Order ◽

Limit Order Market

Download Full-text

Rethinking Zero Returns in the Liquidity Puzzle of a Limit Order Market

Finance ◽

10.3917/fina.362.0007 ◽

2015 ◽

Vol 36 (2) ◽

pp. 7 ◽

Cited By ~ 1

Author(s):

Paolo Mazza

Keyword(s):

Limit Order ◽

Limit Order Market

Download Full-text

An agent-based model of financial returns in a limit order market

Practical Fruits of Econophysics ◽

10.1007/4-431-28915-1_28 ◽

2006 ◽

pp. 158-162

Author(s):

Koichi Hamada ◽

Kouji Sasaki ◽

Toshiaki Watanabe

Keyword(s):

Financial Returns ◽

Agent Based Model ◽

Limit Order ◽

Agent Based ◽

Limit Order Market

Download Full-text

Continuous time trading of a small investor in a limit order market

Stochastic Processes and their Applications ◽

10.1016/j.spa.2013.01.017 ◽

2013 ◽

Vol 123 (6) ◽

pp. 2011-2053 ◽

Cited By ~ 1

Author(s):

Christoph Kühn ◽

Maximilian Stroh

Keyword(s):

Continuous Time ◽

Limit Order ◽

Limit Order Market

Download Full-text

Modeling Inter-Trade Durations in the Limit Order Market

New Advances in Statistics and Data Science - ICSA Book Series in Statistics ◽

10.1007/978-3-319-69416-0_15 ◽

2017 ◽

pp. 259-276

Author(s):

Jianzhao Yang ◽

Zhicheng Li ◽

Xinyun Chen ◽

Haipeng Xing

Keyword(s):

Limit Order ◽

Limit Order Market

Download Full-text

Picking-Off Risk and Liquidity in a Dynamic Limit Order Market

SSRN Electronic Journal ◽

10.2139/ssrn.1108419 ◽

2008 ◽

Author(s):

Bin Wei

Keyword(s):

Limit Order ◽

Limit Order Market

Download Full-text