Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

Lorne N. SWİTZER; Haibo FAN

Makale detayları

Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

Yazarlar:

Lorne N. SWİTZER | Haibo FAN

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2010 Vol.2 Issue 1, pp.11-35

Belge Tipi:

Makale

Yayın Tarihi:

3/2010

Belge Dili:

İngilizce

Document ID (Org No.):

2000717731

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

Özet:

 

The behaviour of limit order quotes and trading activity are studied using a unique and rich database that includes the identity of market participants from a   fully automated derivatives market. The analysis is performed using transactions records for three aggregated trader types and three trade identifiers, with   trades stamped in milliseconds for the SXF, the equity futures contract of the Montreal Exchange. The identifiers distinguish trades between principals;    agency based trades, as well as transactions that are conducted for risk management as opposed to speculative purposes. Agency related trades are shown to    represent the largest amount of trading activity relative to other account types. Over 90% of trades in this electronic market are limit orders. The limit    order book, especially the depth 1 order, has a dominant role in providing liquidity and in explaining market participants trading behaviour. Participants in    the SXF reference their trades to the best limit order depth. Hence, investors with large positions or investors who want to build a large position have to    strategically split large orders to close/build their position, according to the depth of the best limit order, to ameliorate price impact and information    leakage effects. In addition, the results show that traditionally measured spreads have no relationship with trading costs.

Makale detayları

Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment

Yazarlar: Lorne N. SWİTZER | Haibo FAN

Yayıncı: Econometric Research Association

Ana Başlıklar: Sosyoloji & antropoloji | Yönetim

Dergi: International Econometric Review 2010 Vol.2 Issue 1, pp.11-35

Belge Tipi: Makale

Yayın Tarihi: 3/2010

Belge Dili: İngilizce

Document ID (Org No.): 2000717731

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

Sayı

Yazarlar:

Lorne N. SWİTZER | Haibo FAN

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2010 Vol.2 Issue 1, pp.11-35

Belge Tipi:

Makale

Yayın Tarihi:

3/2010

Belge Dili:

İngilizce

Document ID (Org No.):

2000717731

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793