recent developments in high frequency financial ... - Index of
recent developments in high frequency financial ... - Index of
recent developments in high frequency financial ... - Index of
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
108<br />
In the ma<strong>in</strong> text we discuss the implications <strong>of</strong> the situation that the average pr<strong>of</strong>it<br />
equals zero. This implies that<br />
pþk X<br />
qþk<br />
Qþk þ<br />
qþk<br />
2<br />
¼ 0: (23)<br />
Reorder<strong>in</strong>g Eq. (23) and replac<strong>in</strong>g Q+k by Q+k−1+qk yields the average pr<strong>of</strong>it<br />
conditions Eq. (10) from which average break even and update conditions can be<br />
derived as described <strong>in</strong> the ma<strong>in</strong> text.<br />
References<br />
S. Frey, J. Grammig<br />
Ahn H-J, Bae K-H, Chan K (2001) Limit orders, depth, and volatility: evidence from the stock<br />
exchange <strong>of</strong> Hong Kong. J F<strong>in</strong>ance 54:767–788<br />
Andrews DWK (1999) Consistent moment selection procedures for generalized method <strong>of</strong><br />
moments estimation. Econometrica 67:543–564<br />
Bauwens L, Giot P (2001) Econometric modell<strong>in</strong>g <strong>of</strong> stock market <strong>in</strong>traday activity (Kluwer)<br />
Beltran H, Giot P, Grammig J (2004) Commonalities <strong>in</strong> the order book. Mimeo, CORE,<br />
Universities <strong>of</strong> Louva<strong>in</strong>, Namur, and Tüb<strong>in</strong>gen<br />
Biais B, Hillion P, Spatt C (1995) An empirical analysis <strong>of</strong> the limit order book and the order flow<br />
<strong>in</strong> the Paris Bourse. J F<strong>in</strong>ance 1655–1689<br />
Biais B, Martimort D, Rochet J-C (2000) Compet<strong>in</strong>g mechanisms <strong>in</strong> a common value environment.<br />
Econometrica 68:799–837<br />
Bloomfield R, O’Hara M, Saar G (2005) The make or take decision <strong>in</strong> an electronic market:<br />
evidence on the evolution <strong>of</strong> liquidity. J F<strong>in</strong>anc Econ 75:165–199<br />
Boehmer E (2004) Dimensions <strong>of</strong> execution quality: <strong>recent</strong> evidence for U.S. equity markets.<br />
EFA 2004 Work<strong>in</strong>g Paper Texas A&M University<br />
Cao C, Hansch O, Wang X (2004) The <strong>in</strong>formational content <strong>of</strong> an open limit order book. EFA<br />
2004 Work<strong>in</strong>g Paper, Penn State University and Southern Ill<strong>in</strong>ois University<br />
Cheung YC, de Jong F, R<strong>in</strong>di B (2003) Trad<strong>in</strong>g European sovereign bonds: the microstructure<br />
<strong>of</strong> the mts trad<strong>in</strong>g platforms, Discussion paper EFA 2003 Annual Conference Paper,<br />
www.ssrn.com<br />
Coppejans M, Domowitz I, Madhavan A (2003) Dynamics <strong>of</strong> liquidity <strong>in</strong> an electronic limit order<br />
book market, Discussion paper Department <strong>of</strong> Economics, Duke University<br />
Degryse H, de Jong F, Ravenswaaij M, Wuyts G (2003) Aggressive orders and the resiliency <strong>of</strong> a<br />
limit order market, Work<strong>in</strong>g Paper, K.U. Leuven, Department <strong>of</strong> Economics<br />
DeJong F, Nijman T, Roëll A (1996) Price effects <strong>of</strong> trad<strong>in</strong>g and components <strong>of</strong> the bid-ask spread<br />
on the Paris Bourse. J Empir F<strong>in</strong>ance 193–213<br />
Dufour A, Engle RF (2000) Time and the price impact <strong>of</strong> a trade. J F<strong>in</strong>ance 55(6):2467–2499<br />
Easley D, Kiefer NM, O’Hara M, Paperman J (1996) Liquidity, <strong>in</strong>formation, and less-frequently<br />
traded stocks. J F<strong>in</strong>ance 51:1405–1436<br />
Fernandes M, Grammig J (2005) Non-parametric specification tests for conditional duration<br />
models. J Econom 127:35–68<br />
Foucault T (1999) Order flow composition and trad<strong>in</strong>g costs <strong>in</strong> a dynamic limit order market.<br />
J F<strong>in</strong>anc Mark 2:99–134<br />
Foucault T, Kadan O, Kandel E (2003) Limit order book as a market for liquidity, Mimeo, HEC<br />
Glosten L (1994) Is the electronic limit order book <strong>in</strong>evitable? J F<strong>in</strong>ance 49:1127–1161<br />
Glosten LR, Harris LE (1988) Estimat<strong>in</strong>g the components <strong>of</strong> the bid-ask spread. J F<strong>in</strong>anc Econ<br />
21:123–142<br />
Gomber P, Schweickert U, Theissen E (2004) Zoom<strong>in</strong>g <strong>in</strong> on liquidity, EFA 2004 Work<strong>in</strong>g Paper,<br />
University <strong>of</strong> Bonn<br />
Grammig J, He<strong>in</strong>en A, Reg<strong>in</strong>fo E (2004) Trad<strong>in</strong>g activity and liquidity supply <strong>in</strong> a pure limit<br />
order book market, CORE Discussion Paper, 58 Université Catholique de Louva<strong>in</strong><br />
Hall A, Peixe F (2003) A consistent method for the selection <strong>of</strong> relevant <strong>in</strong>struments. Econ Rev<br />
22:269–287<br />
Hall A, Hautsch N, Mcculloch J (2003) Estimat<strong>in</strong>g the <strong>in</strong>tensity <strong>of</strong> buy and sell arrivals <strong>in</strong> a limit<br />
order book market, Mimeo, University <strong>of</strong> Technology, Sidney and University <strong>of</strong> Konstanz