An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange
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DOI: 10.1016/j.jempfin.2014.09.003
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Cited by:
- Chiu, Junmao & Chen, Chin-Ho, 2023. "Limit order revisions across investor sophistication," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 74-90.
- Xiao, Xijuan & Yamamoto, Ryuichi, 2020. "Price discovery, order submission, and tick size during preopen period," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
- Federico Gonzalez & Mark Schervish, 2017. "Instantaneous order impact and high-frequency strategy optimization in limit order books," Papers 1707.01167, arXiv.org, revised Oct 2017.
- Yamamoto, Ryuichi, 2020. "Limit order submission risks, order choice, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
- Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
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More about this item
Keywords
Limit order market; Non-execution risk; Picking-off risk; Investment decisions; Market microstructure;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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