Cotter, John and Dowd, Kevin (2007): The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders.
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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.
|Item Type:||MPRA Paper|
|Institution:||University College Dublin|
|Original Title:||The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G20 - General
G - Financial Economics > G0 - General
|Depositing User:||John Cotter|
|Date Deposited:||12. Jun 2007|
|Last Modified:||12. Feb 2013 16:39|
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