| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP3708
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| DP3708 Disagreement and Flexibility: A Theory of Optimal Security Issuance and Capital Structure |
| Anjan Thakor; Arnoud Boot
|
| 发表日期 | 2003-01-23
|
| 出版年 | 2003
|
| 语种 | 英语
|
| 摘要 | We model a trader?s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The best quotes and the execution probabilities and picking off risks of limit orders determine the price of immediacy. The price of immediacy and the trader?s willingness to pay for immediacy determine the trader?s optimal order submission, with the trader?s willingness to pay for immediacy depending on the trader?s valuation for the stock. We estimate the execution probabilities and the picking off risks using a sample from the Vancouver Stock Exchange to compute the price of immediacy. The price of immediacy changes with market conditions ? a trader?s optimal order submission changes with market conditions. We combine the price of immediacy with the actual order submissions to estimate the unobserved arrival rates of traders and the distribution of the traders? valuations. High realized stock volatility increases the arrival rate of traders and increases the number of value traders arriving ? liquidity supply is more competitive after periods of high volatility. An increase in the spread decreases the arrival rate of traders and decreases the number of value traders arriving ? liquidity supply is less competitive when the spread widens. |
| 主题 | Financial Economics
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| 关键词 | Liquidity
Limit orders
Market orders
High frequency data
Discrete choice
|
| URL | https://cepr.org/publications/dp3708
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532683
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推荐引用方式
GB/T 7714 |
Anjan Thakor,Arnoud Boot. DP3708 Disagreement and Flexibility: A Theory of Optimal Security Issuance and Capital Structure. 2003.
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