Performance of Market Order Execution Strategy: The Australian Evidence

Posted: 26 Jan 2013

See all articles by Nuttawat Visaltanachoti

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Hang (Robin) Luo

Xihua University

Dongqiang Wang

Massey University

Date Written: October 18, 2007

Abstract

This study examines the performance of market order execution strategy in a pure limit order driven environment based on three bid-ask spread forecasting models. While a naive spread forecasting model based on previous day's spread and average 10 trading days’ spread could deliver a cost saving of 3.94% and 14.87%, this benefit increases to 22.14% for a seasonal autoregressive moving average spread forecasting model. The empirical results are evident that the intraday spread forecasting benefits follow a downward-sloping pattern.

Suggested Citation

Visaltanachoti, Nuttawat and Luo, Hang (Robin) and Wang, Dongqiang, Performance of Market Order Execution Strategy: The Australian Evidence (October 18, 2007). Applied Economics Letters, Vol. 14, No. 13, 2007, Available at SSRN: https://ssrn.com/abstract=2206780

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

Hang (Robin) Luo (Contact Author)

Xihua University

School of Economics
Xihua University
Chengdu, SIchuan 610039
China

Dongqiang Wang

Massey University ( email )

Private Bag 11 222
Palmerston North
New Zealand

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