English, Article edition: Diffusive behavior and the modeling of characteristic times in limit order executions Zoltan Eisler; Janos Kertesz; Fabrizio Lillo; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/50451
Physical Description
  • article
Language
  • English

Edition details

Title
  • Diffusive behavior and the modeling of characteristic times in limit order executions
Author
  • Zoltan Eisler
  • Janos Kertesz
  • Fabrizio Lillo
  • Rosario Mantegna
Physical Description
  • article
Notes
  • We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancelations. We outline a simple model that assumes that prices are characterized by the empirically observed distribution of the first passage time and orders are canceled randomly with lifetimes that are asymptotically power law distributed with an exponent λLT. In spite of the simplifying assumptions of the model, the inclusion of cancelations is sufficient to account for the above observations and enables one to estimate characteristics of the cancelation strategies from empirical data.
  • Econophysics, Limit order market, Microstructure, First passage time, Censored data, Time to fill,
  • RePEc:taf:quantf:v:9:y:2009:i:5:p:547-563
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment