The analysis of limit orders using the Cox proportional hazards model with independent competing risks
Ensor, Katherine B.
Master of Arts
I 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.
Social sciences; Pure sciences