I would like to find studies that compare the results of two
strategies for buying or selling stock:
1. Buying or selling at current market price
versus
2. Placing a limit order to buy for a small amount less than the
current price, or placing a limit order to sell for a small amount
more than the current price.
The issues I would like to see addressed in the studies are:
- How to calculate the amount "off" the market price to place the
limit order for a percentage likelihood of order execution within a
certain time. For example, what price do I place a limit order to buy
if the beta is X, the price is Y, and I want to have a Z percent
chance of the order executing within 120 days.
- Which method (1 or 2) tends to get the best results, accounting for
the opportunity or other costs associated with the limit orders that
end up not getting fulfilled.
I am looking for studies that either analyze historical data, or are
based on solid mathematical theory. I'm not looking for pundits
pontificating on what should work.
I will pay $10 for the first study, and $5 for other unique studies
after that (via tips), up to 5 studies total ($20 tips plus $10 for
the first).
Thanks in advance!
I was able to download that paper on www.sciencedirec.com for $30, and
it seems useful. The math was pretty serious, and I will need to
spend some time seeing if I can wade through the numerous equations
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Well I'm not allowed to answer b/c I"m not an official google
answererer, but you can find some references in:
Econometric Models of Limit-Order Executions
Journal of Financial Economics v65, n1 (July 2002): 31-71
We develop and estimate an econometric model of limit-order execution
times using survival analysis and actual limit-order data. We estimate
versions for time-to-first-fill and time-to-completion for both buy
and sell limit orders, and incorporate the effects of explanatory
variables such as the limit price, limit size, bid/offer spread, and
market volatility. Execution times are very sensitive to the limit
price, but are not sensitive to limit size. Hypothetical limit-order
executions, constructed either theoretically from first-passage times
or empirically from transactions data, are very poor proxies for
actual limit-order executions.
If you send me an e-mail confirming you want it purely for academic
use, i can send you a copy of the article. mhapt at yahoo dot come
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Studies of Equity (Stock) Sell / Buy strategies using limit orders versus market