Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/43239 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
CFS Working Paper No. 2008/40
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Limit Order Book
Pro-Rata
Tick Size
Bid-Ask Spread
Depths
JEL: 
G12
G13
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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