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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorHuang, Ruihongen_US
dc.date.accessioned2012-04-05T16:21:26Z-
dc.date.available2012-04-05T16:21:26Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56739-
dc.description.abstractIn this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost immediately after submission if not getting executed. Moreover, only very few market orders walk through the book, i.e., directly move the best ask or bid quote. Estimates of impulse-response functions on the basis of a cointegrated VAR model for quotes and market depth allow us to quantify the market impact of incoming limit orders. We propose a method to predict the optimal size of a limit order conditional on its position in the book and a given fixed level of expected market impact.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2011-056en_US
dc.subject.jelG14en_US
dc.subject.jelC32en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordprice impacten_US
dc.subject.keywordlimit orderen_US
dc.subject.keywordimpulse response functionen_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordoptimal order sizeen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwUSAen_US
dc.titleLimit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn667304487en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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