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首页> 外文期刊>Journal of International Money and Finance >The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system
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The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system

机译：限价单或市价单的提交：时间和信息在Reuters D2000-2系统中的作用

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摘要

Recent work in the market microstructure literature suggests that the speed with which orders arrive in the market impacts traders' order submission decisions. In this study we use an asymmetric autoregressive conditional duration (ACD) model to empirically investigate the influence on the submission of limit and market orders of changes in the time between the past submissions of different types of orders, changes in the slope of the limit order book, and changes in price uncertainty. We find that the expected time between the arrivals of successive orders in the foreign exchange market depends on the previous type of order submitted and the slope on both sides of the order book. Price uncertainty (volatility) plays a secondary role after accounting for the impact of changes in the slope of the order book. Lastly, we find that there are fundamental changes in the level of information contained in the submission of orders at the opening and closing of markets.
机译：市场微观结构文献中的最新研究表明，订单到达市场的速度会影响交易者的订单提交决定。在这项研究中，我们使用非对称自回归条件持续时间（ACD）模型来实证研究过去不同类型的订单提交之间的时间变化，限制订单斜率的变化对限制提交和市场订单的影响。预订，以及价格不确定性的变化。我们发现，外汇市场中连续订单到达之间的预期时间取决于先前提交的订单类型和订单簿两侧的斜率。在考虑了订单簿斜率变化的影响之后，价格不确定性（波动性）扮演了次要角色。最后，我们发现在市场开放和关闭时提交订单所包含的信息水平发生了根本变化。

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