Excecution times of small limit orders
CHATTERJEE, DEVLINA
Excecution times of small limit orders A simpler modeling approach - 2013 - 49-64
This paper studies excecution times of small orders in an electronic exchange, specifically the National Stock Exchange of India. Unlike other studies that have reconstructed the order book, a time consuming and computationally intensive activity,this paper considers small hypothetical orders, fo which lower and upper bonds on excution time are inferred from size and volatility are the most important variables that affect order execution.
MANAGEMENT
658
Excecution times of small limit orders A simpler modeling approach - 2013 - 49-64
This paper studies excecution times of small orders in an electronic exchange, specifically the National Stock Exchange of India. Unlike other studies that have reconstructed the order book, a time consuming and computationally intensive activity,this paper considers small hypothetical orders, fo which lower and upper bonds on excution time are inferred from size and volatility are the most important variables that affect order execution.
MANAGEMENT
658