Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment
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Le, Anh Tu; Le, Thai-Ha; Liu, Wai-Man; Fong, Kingsley
Description
This study examines dynamic order placement strategies in a low-latency environment together with limit orders' aggressiveness by a new approach which utilises survival analysis with a multiple-spell duration model. Two samples are considered, including the period immediately followed Australian Securities Exchange (ASX)'s migration to Integrated Trading System (ITS) and the period subsequent to the launch of ASX Trade. We find the evidence supporting both the 'cost of immediacy hypothesis' and...[Show more]
Collections | ANU Research Publications |
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Date published: | 2020 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/293424 |
Source: | International Review of Financial Analysis |
DOI: | 10.1016/j.irfa.2020.101575 |
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1-s2.0-S1057521920302192-main.pdf | 733.76 kB | Adobe PDF | Request a copy |
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