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Intra-Day Seasonality in Foreign Market Transactions

Author

Listed:
  • John Cotter

    (University College Dublin, Ireland)

  • Kevin Dowd

    (The University of Nottingham, UK)

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.

Suggested Citation

  • John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200745, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:2007/45
    as

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    File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200745.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    limit orders; market orders; tail risks;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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