Limit order trading

被引：162

作者：

Handa, P ^{[1
]}

Schwartz, RA ^{[1
]}

机构：

[1] NYU,STERN SCH BUSINESS,NEW YORK,NY 10012

来源：

JOURNAL OF FINANCE | 1996年 / 51卷 / 05期

关键词：

D O I：

10.2307/2329540

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the rationale for limit order trading. Use of limit orders involves two risks: 1) an adverse information event can trigger an undesirable execution, and 2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders can result in accentuated short-term price fluctuations that compensate a limit order trader. Our empirical tests suggest that trading via limit orders dominates trading via market orders for market participants with relatively well balanced portfolios, and that placing a network of buy and sell limit orders as a pure trading strategy is profitable.

引用

页码：1835 / 1861

页数：27

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