Matches in SemOpenAlex for { <https://semopenalex.org/work/W2111383591> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W2111383591 abstract "Using 2001 NYSE system order data in the decimal pricing environment, we analyze how the specialists react to the changes in market variables while making participation decisions to the trades. We analyze the following options that are available to the specialist before he trades: don't participate; participate at the quoted price; participate and improve the price. We find that the specialist uses information in the limit order book as summarized by the limit order book asymmetry. The specialist increases the probability that he participates to the trade when a market order arrives if he is able to step in front of the heavy side of the LOB. If the relative size of the market order, as described by the ratio of the market order size to the posted depth at the relevant side of the market, is high, the specialist chooses not to participate and let the market order trade with the limit order book. Consistent with the theoretical results in the previous literature, specialists trade more aggressively when the spread is large. We find that specialist trading strategies in stocks from different volume and price categories vary substantially. Finally, we also find significant inventory effects. The specialist trades more aggressively, if the trade with the incoming market order restores his inventory." @default.
- W2111383591 created "2016-06-24" @default.
- W2111383591 creator A5027288213 @default.
- W2111383591 date "2005-01-01" @default.
- W2111383591 modified "2023-09-23" @default.
- W2111383591 title "Participation Strategy of the NYSE Specialists to the Trades" @default.
- W2111383591 cites W1491979629 @default.
- W2111383591 cites W1531793027 @default.
- W2111383591 cites W1547280275 @default.
- W2111383591 cites W1572194775 @default.
- W2111383591 cites W1600316578 @default.
- W2111383591 cites W1971872235 @default.
- W2111383591 cites W1984111604 @default.
- W2111383591 cites W1987634416 @default.
- W2111383591 cites W1988135531 @default.
- W2111383591 cites W2002106003 @default.
- W2111383591 cites W2017340369 @default.
- W2111383591 cites W2033096392 @default.
- W2111383591 cites W2036703111 @default.
- W2111383591 cites W2050031929 @default.
- W2111383591 cites W2050238052 @default.
- W2111383591 cites W2051348037 @default.
- W2111383591 cites W2090998069 @default.
- W2111383591 cites W2093362178 @default.
- W2111383591 cites W2097875102 @default.
- W2111383591 cites W2099777666 @default.
- W2111383591 cites W2100746131 @default.
- W2111383591 cites W2117338101 @default.
- W2111383591 cites W2125531201 @default.
- W2111383591 cites W2150015494 @default.
- W2111383591 cites W3122886688 @default.
- W2111383591 cites W3123454797 @default.
- W2111383591 cites W3124121439 @default.
- W2111383591 cites W3124477642 @default.
- W2111383591 cites W3125926994 @default.
- W2111383591 doi "https://doi.org/10.2139/ssrn.995413" @default.
- W2111383591 hasPublicationYear "2005" @default.
- W2111383591 type Work @default.
- W2111383591 sameAs 2111383591 @default.
- W2111383591 citedByCount "2" @default.
- W2111383591 crossrefType "journal-article" @default.
- W2111383591 hasAuthorship W2111383591A5027288213 @default.
- W2111383591 hasBestOaLocation W21113835912 @default.
- W2111383591 hasConcept C10138342 @default.
- W2111383591 hasConcept C106159729 @default.
- W2111383591 hasConcept C114614502 @default.
- W2111383591 hasConcept C134306372 @default.
- W2111383591 hasConcept C138890893 @default.
- W2111383591 hasConcept C144133560 @default.
- W2111383591 hasConcept C151201525 @default.
- W2111383591 hasConcept C151730666 @default.
- W2111383591 hasConcept C162324750 @default.
- W2111383591 hasConcept C182306322 @default.
- W2111383591 hasConcept C18991353 @default.
- W2111383591 hasConcept C2779309563 @default.
- W2111383591 hasConcept C2780299701 @default.
- W2111383591 hasConcept C2780762169 @default.
- W2111383591 hasConcept C33923547 @default.
- W2111383591 hasConcept C65045869 @default.
- W2111383591 hasConcept C86803240 @default.
- W2111383591 hasConcept C94375191 @default.
- W2111383591 hasConceptScore W2111383591C10138342 @default.
- W2111383591 hasConceptScore W2111383591C106159729 @default.
- W2111383591 hasConceptScore W2111383591C114614502 @default.
- W2111383591 hasConceptScore W2111383591C134306372 @default.
- W2111383591 hasConceptScore W2111383591C138890893 @default.
- W2111383591 hasConceptScore W2111383591C144133560 @default.
- W2111383591 hasConceptScore W2111383591C151201525 @default.
- W2111383591 hasConceptScore W2111383591C151730666 @default.
- W2111383591 hasConceptScore W2111383591C162324750 @default.
- W2111383591 hasConceptScore W2111383591C182306322 @default.
- W2111383591 hasConceptScore W2111383591C18991353 @default.
- W2111383591 hasConceptScore W2111383591C2779309563 @default.
- W2111383591 hasConceptScore W2111383591C2780299701 @default.
- W2111383591 hasConceptScore W2111383591C2780762169 @default.
- W2111383591 hasConceptScore W2111383591C33923547 @default.
- W2111383591 hasConceptScore W2111383591C65045869 @default.
- W2111383591 hasConceptScore W2111383591C86803240 @default.
- W2111383591 hasConceptScore W2111383591C94375191 @default.
- W2111383591 hasLocation W21113835911 @default.
- W2111383591 hasLocation W21113835912 @default.
- W2111383591 hasOpenAccess W2111383591 @default.
- W2111383591 hasPrimaryLocation W21113835911 @default.
- W2111383591 hasRelatedWork W1491839574 @default.
- W2111383591 hasRelatedWork W1947684173 @default.
- W2111383591 hasRelatedWork W2011945577 @default.
- W2111383591 hasRelatedWork W2072270077 @default.
- W2111383591 hasRelatedWork W2596173151 @default.
- W2111383591 hasRelatedWork W2762348653 @default.
- W2111383591 hasRelatedWork W2765153054 @default.
- W2111383591 hasRelatedWork W2931838652 @default.
- W2111383591 hasRelatedWork W3093286364 @default.
- W2111383591 hasRelatedWork W563843507 @default.
- W2111383591 isParatext "false" @default.
- W2111383591 isRetracted "false" @default.
- W2111383591 magId "2111383591" @default.
- W2111383591 workType "article" @default.