The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders

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Title: The tail risks of FX return distributions : a comparison of the returns associated with limit orders and market orders
Authors: Cotter, John
Dowd, Kevin
Permanent link: http://hdl.handle.net/10197/1151
Date: 18-May-2007
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.
Funding Details: University College Dublin. School of Business
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-07-11
Copyright (published version): 2007, Centre for Financial Markets
Keywords: Limit ordersMarket ordersTail risks
Subject LCSH: International finance
Extreme value theory
Financial risk
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/WP-07-11.pdf
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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