A comprehensive test of order choice theory: recent evidence from the NYSE
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Citations
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Cited by:
- Ingrid Lo & Stephen Sapp, 2005. "Order Submission: The Choice between Limit and Market Orders," Staff Working Papers 05-42, Bank of Canada.
- Lo, Ingrid & Sapp, Stephen G., 2010.
"Order aggressiveness and quantity: How are they determined in a limit order market?,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
- Ingrid Lo & Stephen Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Staff Working Papers 07-23, Bank of Canada.
- Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
- Lo, Ingrid & Sapp, Stephen G., 2008. "The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1056-1073, November.
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More about this item
Keywords
order choice; limit order; market order; automatic execution; limit order book;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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