| Tekijä: | Lo, A. W. MacKinlay, A. C. Zhang, J. |
| Otsikko: | Econometric models of limit-order executions |
| Lehti: | Journal of Financial Economics
2002 : JUL, VOL. 65:1, p. 31-71 |
| Asiasana: | Market structure Microeconomics Transaction costs Portfolio management |
| Kieli: | eng |
| Tiivistelmä: | The authors develop and estimate an econometric model of limit-order execution times using survival analysis and actual limit-order data. They estimate versions for time-ti-first-fill and time-to-completion for both buy and sell limit orders, and incorporate the effects of explanatory variables such as the limit price, limit size, bid/offer spread, and market volatility. Execution times are very sensitive to the limnit price, but are not sensitive to limit size. Hypothetical limit-order executions, constructed either theoretically from first-passege times or empirically from transactions data, are very poor proxies for actual limit-order executions. |
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