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A comprehensive test of order choice theory: recent evidence from the NYSE. (2003). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:24896.

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Cited: 4

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Cites: 33

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  1. The Long Memory of Order Flow in the Foreign Exchange Spot Market. (2015). Gould, Martin D. ; Howison, Sam D. ; Porter, Mason A..
    In: Papers.
    RePEc:arx:papers:1504.04354.

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  2. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:7:p:1056-1073.

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  3. Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?. (2007). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-23.

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  4. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

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References

References cited by this document

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  29. Smith, J., 2000, “Market versus Limit Order Submission Behavior at a Nasdaq Market Maker,” Unpublished paper, Nasdaq Economic Research.
    Paper not yet in RePEc: Add citation now
  30. Sullivan, R., A. Timmerman, and H. White, 1999, “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap,” Journal of Finance 54, 1647-1691.

  31. Swinscow, T., 1997, Statistics at Square One, 9th edition, London, BMJ Publishing.
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  32. United States Securities and Exchange Commission, 2001, “Disclosure of Order Execution and Routing Practices.” Yeo, W., 2002, “Persistent Pattern in Limit Order Submission,” unpublished paper, Indiana University.
    Paper not yet in RePEc: Add citation now
  33. United States Securities and Exchange Commission, 2001, Report on Comparison of Order Executions Across Equity Market Structures, Office of Economic Analysis.
    Paper not yet in RePEc: Add citation now

Cocites

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  2. How do designated market makers create value for small-caps?. (2013). Menkveld, Albert ; Wang, Ting.
    In: Journal of Financial Markets.
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  3. Limited attention and news arrival in limit order markets.. (2013). Dugast, Jérôme.
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  4. A Dynamic Model of the Limit Order Book. (2009). Rosu, Ioanid.
    In: Post-Print.
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  5. The impact of liquidity shocks through the limit order book. (2008). Wuyts, Gunther .
    In: CFS Working Paper Series.
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  6. Thought and Behavior Contagion in Capital Markets. (2008). Teoh, Siew Hong ; Hirshleifer, David.
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  7. Whose trades convey information? Evidence from a cross-section of traders. (2007). Schmeling, Maik ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
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  8. Modeling Electronic FX Brokerage as a Fast Order-Driven Marketunder Heterogeneous Private Values and Information. (2007). Derviz, Alexis.
    In: Working Papers IES.
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  9. Order aggressiveness and order book dynamics. (2006). Hall, Anthony ; Hautsch, Nikolaus.
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  10. How large is liquidity risk in an automated auction market?. (2006). Grammig, Joachim ; Giot, Pierre.
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  11. Liquidity supply and adverse selection in a pure limit order book market. (2006). Grammig, Joachim ; Frey, Stefan.
    In: Empirical Economics.
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  12. Price Discovery in Currency Markets. (2006). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
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  13. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange. (2006). Angelidis, Timotheos ; Benos, Alexandros .
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  14. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
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  15. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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  16. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
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  17. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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  18. A piecewise linear model for trade sign inference. (2004). Blazejewski, Adam ; Coggins, Richard .
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  20. A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange. (2004). Ekinci, Cumhur.
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  21. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market. (2004). Hall, Anthony ; Hautsch, Nikolaus.
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  22. Does Anonymity Matter in Electronic Limit Order Markets?. (2004). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
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  23. Cancellation and Uncertainty Aversion on Limit Order Books. (2004). Large, Jeremy.
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  25. Understanding limit order book depth: conditioning on trade informativeness. (2004). Menkveld, Albert ; BELTRAN, Helena .
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