Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
The behaviour of limit order quotes and trading activity are studied using a unique and rich database that includes the identity of market participants from a fully automated derivatives market. The analysis is performed using transactions records for three aggregated trader types and three trade...
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| Format: | Article |
| Language: | English |
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Econometric Research Association
2010-04-01
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| Series: | International Econometric Review |
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| Online Access: | http://www.era.org.tr/makaleler/2041051.pdf |