東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Linked to FindBook

Google Book

Amazon

博客來

Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq./
Author:	Zhang, Dan.
Description:	1 online resource (47 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-04, Section: A.
Contained By:	Dissertations Abstracts International84-04A.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29327472click for full text (PQDT)
ISBN:	9798845409522

Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq.
Zhang, Dan.

Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq. - 1 online resource (47 pages)

Source: Dissertations Abstracts International, Volume: 84-04, Section: A.

Thesis (Ph.D.)--Illinois Institute of Technology, 2022.

Includes bibliographical references

My research includes two parts. In the first part of my research, I classify marketable limit orders into three different types: large marketable order to buy, large marketable order to sell, and small marketable order. I use dummy variance method to research the effect of the three marketable orders on standardized variance, and find that LMOB and LMOS play significant role in variance increase. The second part of my research is about modelling of time to execution and time to cancellation of Non-marketable limit orders. I construct variables and model time to execution for NLO to buy and time to cancellation for NLO to buy and NLO to sell based on exponential distribution with accelerated failure time specification. My research shows that the longer the distance of limit price to buy away from the best bid price, the longer time to execution is. The longer the distance of limit price to buy away from the best bid price or limit price to sell away from the best ask price, the longer the time to cancellation is.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798845409522Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

High frequency tradingIndex Terms--Genre/Form:

542853
Electronic books.

Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq.
LDR:02480nmm a2200409K 4500 001 2355957
005 20230530061517.5
006 m o d
007 cr mn ---uuuuu
008 241011s2022 xx obm 000 0 eng d
020 $a 9798845409522
035 $a (MiAaPQ)AAI29327472
035 $a AAI29327472
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Zhang, Dan. $3 1066610
245 1 0 $a Marketable Limit Orders and Non-marketable Limit Orders on Nasdaq.
264 0 $c 2022
300 $a 1 online resource (47 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 84-04, Section: A.
500 $a Advisor: Van Vliet, Ben ; Cooper, Ricky.
502 $a Thesis (Ph.D.)--Illinois Institute of Technology, 2022.
504 $a Includes bibliographical references
520 $a My research includes two parts. In the first part of my research, I classify marketable limit orders into three different types: large marketable order to buy, large marketable order to sell, and small marketable order. I use dummy variance method to research the effect of the three marketable orders on standardized variance, and find that LMOB and LMOS play significant role in variance increase. The second part of my research is about modelling of time to execution and time to cancellation of Non-marketable limit orders. I construct variables and model time to execution for NLO to buy and time to cancellation for NLO to buy and NLO to sell based on exponential distribution with accelerated failure time specification. My research shows that the longer the distance of limit price to buy away from the best bid price, the longer time to execution is. The longer the distance of limit price to buy away from the best bid price or limit price to sell away from the best ask price, the longer the time to cancellation is.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 542899
653 $a High frequency trading
653 $a Limit order book
653 $a Marketable limit orders
653 $a Non-marketable limit orders
653 $a Time to cancellation
653 $a Time to execution
653 $a Nasdaq
655 7 $a Electronic books. $2 lcsh $3 542853
690 $a 0454
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a Illinois Institute of Technology. $b Stuart School of Business. $3 3182822
773 0 $t Dissertations Abstracts International $g 84-04A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29327472 $z click for full text (PQDT)