EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43239
  
Title:Pro-rata matching and one-tick futures markets PDF Logo
Authors:Field, Jonathan
Large, Jeremy
Issue Date:2008
Series/Report no.:CFS Working Paper 2008/40
Abstract:We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of magnitude, and their order cancellation rates (the probability of any given offered lot being cancelled) are significantly over 96 per cent. We develop a simple theoretical model to ex- plain these facts, where strategic complementarities in the choice of limit order size cause traders to risk overtrading by submitting over-sized limit orders, most of which they expect to cancel.
Subjects:Limit Order Book
Pro-Rata
Tick Size
Bid-Ask Spread
Depths
JEL:G12
G13
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-62190
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
599234717.pdf385.96 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/43239

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.