Excecution times of small limit orders A simpler modeling approach

By:

CHATTERJEE, DEVLINA

Contributor(s):

MUKHOPADHYAY, CHIRANJIT

Material type:

Mixed materialsPublication details: 2013Description: 49-64Subject(s):

MANAGEMENT

NLM classification:

In: VIKALPAMSummary: 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.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		38/1	Available		P14822

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.

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