The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders

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dc.contributor.author Cotter, John
dc.contributor.author Dowd, Kevin
dc.date.accessioned 2009-11-18T17:51:58Z
dc.date.available 2009-11-18T17:51:58Z
dc.date.copyright 2007 Elsevier Inc. en
dc.date.issued 2007-09
dc.identifier.citation Finance Research Letters en
dc.identifier.issn 544-6123
dc.identifier.uri http://hdl.handle.net/10197/1626
dc.description.abstract This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather than the more common analysis of indicative quotes. In general, limit and market orders exhibit broadly similar tail behaviour, but limit orders have significantly heavier tails and larger tail quantiles than market orders. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier en
dc.subject Limit orders en
dc.subject Market orders en
dc.subject Tail risks en
dc.subject.classification G1 en
dc.subject.classification G11 en
dc.subject.classification G15 en
dc.subject.classification G32 en
dc.subject.lcsh International finance en
dc.subject.lcsh Extreme value theory en
dc.subject.lcsh Financial risk en
dc.title The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders en
dc.type Journal Article en
dc.internal.authorurl John Cotter (web page) en
dc.internal.authorurl http://www.ucd.ie/research/people/business/drjohncotter/ en
dc.internal.authorid UCD0043 en
dc.internal.availability Full text not available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1016/j.frl.2007.05.002 en
dc.status Peer reviewed en
dc.identifier.volume 4 en
dc.identifier.issue 3 en
dc.identifier.startpage 146 en
dc.identifier.endpage 154 en
dc.identifier.doi 10.1016/j.frl.2007.05.002
dc.neeo.contributor Cotter|John|aut|UCD0043 en
dc.neeo.contributor Dowd|Kevin|aut| en


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