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Research Papers
Published by darthtrader
04-13-2008 |
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By
BlowFish
on
04-13-2008, 12:21 PM
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Re: Research Papers
The second one was a little more interesting however it seems pretty obvious that if it is a FIFO order matching system people will exploit that by placing limit orders at certain levels and then cancelling if they subsequently do not wish to trade at that level. The other thing that does not appear to be discussed is the effect of tick size. Too small a tick size deters people from offering liquidity 'early' (in the form of limit orders) as it costs a relatively smaller amount to join late. So the answer seems obviously yes but less so in markets with smaller tick size. e.g. If you look at say YM compared to ES the difference in the order book is greater than would be suggested by the different total contracts traded. YM is thinner than you would expect as it is cheap to better the inside bid/ask. Another side effect of this is increased volatility. If this sort of stuff interests you a useful and practical book that deals with the effect different exchange regulations have on how the participants operate is Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris. A truly great book that offers a whole lot more solid trading information. Cheers. |
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Thanks: 23
Thanked 103 Times in 74 Posts
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By
darthtrader
on
04-14-2008, 08:47 AM
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Re: Research Papers
Ahh, I actually read Trading and Exchanges quite awhile ago but really need to read it again as I was too much of a newb at the time to really get much from it other than the concept of "front running".
Sorry if some of these don't work, it seems the paper download changes pretty quick to having to pay for it. If one does change it seems pretty easy to find the paper with google by just search for the title. I thought this was an interesting comparison between double action markets and bookmakers, which i think might be relevant between specialist/market makers vs ECN The Double-Auction Gambling Market: An Experimental Examination http://www.encyclopedia.com/doc/1G1-167304929.html I just ordered a new printer and haven't really felt like getting too deep into reading the PDfs. Here is more, I didn't think this post went through intially. An Empirical Behavioral Model of Liquidity and Volatility http://papers.ssrn.com/sol3/papers.c...act_id=1011403 A Simulation Analysis of the Microstructure of Double Auction Markets http://papers.ssrn.com/sol3/papers.c...ract_id=841608 What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders? http://papers.ssrn.com/sol3/papers.c...ract_id=489508 Understanding Order Flow http://papers.ssrn.com/sol3/papers.c...ract_id=842482 Analysis of Limit Order Book and Order Flow http://papers.ssrn.com/sol3/papers.c...ract_id=488422 Liquidity, Size and Cycle of Order Flow http://papers.ssrn.com/sol3/papers.c...ract_id=621441 Stock Market Return, Order Flow and Financial Market Linkages http://papers.ssrn.com/sol3/papers.c...ract_id=965649 Momentum Profitability and Market Trend: Evidence from Reits http://papers.ssrn.com/sol3/papers.c...ract_id=872604 Andrew Lo's site has a really interesting paper on long portfolios using leverage, 130% long and 30% short... 130/30: The New Long-Only http://web.mit.edu/alo/www/ |
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Thanks: 5
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By
waveslider
on
04-15-2008, 03:37 PM
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Re: Research Papers
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Thanks: 8
Thanked 24 Times in 20 Posts
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