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

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dc.contributor.advisorEnsor, Katherine B.
dc.creatorKenney, Colleen
dc.date.accessioned2012-05-01T19:38:18Z
dc.date.available2012-05-01T19:38:18Z
dc.date.issued2008
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.
dc.format.extent30 pagesen_US
dc.format.mimetypeapplication/pdf
dc.identifier.callnoTHESIS STAT. 2008 KENNEY
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>.
dc.identifier.urihttps://hdl.handle.net/1911/64039
dc.language.isoeng
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.
dc.subjectSocial sciences
dc.subjectPure sciences
dc.titleThe analysis of limit orders using the Cox proportional hazards model with independent competing risks
dc.typeThesis
dc.type.materialText
thesis.degree.departmentStatistics
thesis.degree.disciplineEngineering
thesis.degree.grantorRice University
thesis.degree.levelMasters
thesis.degree.nameMaster of Arts
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