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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorHuang, Ruihongen
dc.date.accessioned2012-04-05T16:21:26Z-
dc.date.available2012-04-05T16:21:26Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-056en
dc.subject.jelG14en
dc.subject.jelC32en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordprice impacten
dc.subject.keywordlimit orderen
dc.subject.keywordimpulse response functionen
dc.subject.keywordcointegrationen
dc.subject.keywordoptimal order sizeen
dc.subject.stwWertpapierhandelen
dc.subject.stwBörsenkursen
dc.subject.stwBid-Ask Spreaden
dc.subject.stwPrognoseverfahrenen
dc.subject.stwAktienmarkten
dc.subject.stwUSAen
dc.titleLimit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data-
dc.typeWorking Paperen
dc.identifier.ppn667304487en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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