The analysis of limit orders using the Cox proportional hazards model with independent competing risks

Simple item page
dc.contributor.advisorEnsor, Katherine B.en_US
dc.creatorKenney, Colleenen_US
dc.date.accessioned2012-05-01T19:38:18Zen_US
dc.date.available2012-05-01T19:38:18Zen_US
dc.date.issued2008en_US
dc.description.abstractI apply the Cox proportional hazards model with independent competing risks to study the hazard rates of executed, cancelled, and partially executed limit orders submitted for Microsoft to the Island ECN for one day. The instantaneous probability of execution increases with decreases in the buy order price but increases to the sell order price, increases in volume on the sell side of the market and market activity. The probability of cancellation increases with increases in the liquidity demand and market activity for buy orders, volume on the same side of the market and absolute market activity for sell orders. Finally, the partially executed hazard rate for buy orders increases with increases in price, volume on the opposite side of the market, size, and absolute market activity; for sell orders, the hazard rate increases with increases in the volume on the same side of the market, liquidity demanded, and market activity.en_US
dc.format.extent30 pagesen_US
dc.format.mimetypeapplication/pdfen_US
dc.identifier.callnoTHESIS STAT. 2008 KENNEYen_US
dc.identifier.citationKenney, Colleen. "The analysis of limit orders using the Cox proportional hazards model with independent competing risks." (2008) Master’s Thesis, Rice University. <a href="https://hdl.handle.net/1911/64039">https://hdl.handle.net/1911/64039</a>.en_US
dc.identifier.urihttps://hdl.handle.net/1911/64039en_US
dc.language.isoengen_US
dc.rightsCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.en_US
dc.subjectSocial sciencesen_US
dc.subjectPure sciencesen_US
dc.titleThe analysis of limit orders using the Cox proportional hazards model with independent competing risksen_US
dc.typeThesisen_US
dc.type.materialTexten_US
thesis.degree.departmentStatisticsen_US
thesis.degree.disciplineEngineeringen_US
thesis.degree.grantorRice Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Artsen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Analysis of Limit Orders Using the Cox Proportional Hazards Model with Independent Competing Risks.pdf
Size:
2.18 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Rice University Theses and Dissertations
Theses and Dissertations