Market vs limit orders: The SuperDOT evidence on order submission strategy

被引:158
作者
Harris, L [1 ]
Hasbrouck, J [1 ]
机构
[1] NYU,STERN SCH BUSINESS,NEW YORK,NY 10012
关键词
D O I
10.2307/2331180
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper discusses performance measures for market and limit orders. We suggest two measures: one for precommitted traders (who must trade) and another for passive traders (who are indifferent to trading). We compute these measures for a sample of NYSE Super-DOT orders. The results suggest that the limit order placement strategies most commonly used by NYSE SuperDOT traders do in fact perform best. Limit orders placed at or better than the prevailing quote perform better than do market orders, even after imputing a penalty for unexecuted orders, and after taking into account market order price improvement. Unconditional order submission strategies that use SuperDOT to offer liquidity in competition with the specialist do not appear to be profitable.
引用
收藏
页码:213 / 231
页数:19
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