Browsing College of Business and Law by Subject "Tail risks"

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

Cotter, John ; Dowd, Kevin (Elsevier, 2007-09)

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

Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial Markets, 2007-05-18)

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 ...