|
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  |
| 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 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
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.
|