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سفارش طراحی انواع اکسپرت و اندیکاتور
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volatility depth

volatility depth
volatility depth

volatility We investigate the role of limit orders in the liquidity provision in the Hong Kong stock market, which is  based on a computerized limit-order trading system. Consistent with Handa and Schwartz (1996), results show that market depth rises subsequent to an increase in transitory \volatility, and transitoryvolatility declines subsequent to an increase in market […]

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depth volatility

volatility

We investigate the role of limit orders in the liquidity provision in the Hong Kong stock market,

which is  based on a computerized limit-order trading system. Consistent with Handa and Schwartz (1996),

results show that market depth rises subsequent to an increase in transitory \volatility,

and transitoryvolatility declines subsequent to an increase in market depth. We also examine how transitory \volatility affects the mix between limit orders and market orders. When transitory \volatility arises from the ask (bid) side,

investors will submit more limit sell (buy) orders than market sell (buy) orders. This result is consistent with the existence of limit-order traders who enter the market and place orders when liquidity is needed.

 

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  • عنوان مقاله : depth volatility
  • نوع فایل : PDF
  • حجم فایل : 120 کیلوبایت

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