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- W1482500235 abstract "This paper uses an order data set to analyze trading by limit versus market orders on the Saudi Stock Market. Building on the literature on a trader's choice problem in order driven markets, we interpret the data using a Random Utility Model and approach the problem statistically using a logit model. The performance of the orders resulting from the decisions of traders also is examined. The empirical results show that the probability of placing a market order is negatively related to the inside spread and order size, and is positively related to order imbalance and previous same-side market orders. The performance measures indicate that limit order strategies perform better than a market order strategy." @default.
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- W1482500235 date "2001-01-01" @default.
- W1482500235 modified "2023-10-03" @default.
- W1482500235 title "Limit vs. Market Order Trading on the Saudi Stock Market" @default.
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- W1482500235 doi "https://doi.org/10.2139/ssrn.271450" @default.
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