Ingrid Lo

TL;DR: This paper examined the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the U.S. Treasury market and showed that preannouncement liquidity shocks, such as changes in the bid-ask spread and market depth, have significant predictive power for jumps.

TL;DR: This paper examined the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the US Treasury market and showed that while jumps occur mostly at prescheduled macroeconomic announcement times, announcement surprises have limited power in explaining bond price jumps.

TL;DR: The authors empirically investigated how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model using an ordered probit model to account for the discrete nature of order aggressiveness and a censored regression model to capture the quantity decision recognizing the clustering of orders at the smallest available quantity.

TL;DR: Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type as discussed by the authors, which is the case in the stock market.

TL;DR: In this article, the authors use an asymmetric autoregressive conditional duration (ACD) model to empirically investigate the influence on the submission of limit and market orders of changes in the time between the past submissions of different types of orders, changes in slope of the limit order book, and changes in price uncertainty.