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The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders
Author(s)
Date Issued
2007-05-18
Date Available
2009-06-08T13:25:10Z
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.
Sponsorship
University College Dublin. School of Business
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-07-11
Copyright (Published Version)
2007, Centre for Financial Markets
Classification
G1
G15
G32
Subject – LCSH
International finance
Extreme value theory
Financial risk
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
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