Keiichi Omura

Waseda University - Graduate School of Commerce

Professor

1-6-1, Nishi-Waseda

Shinjuku-ku, Tokyo 169-8050

Japan

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Execution Probability of Limit Orders on the Tokyo Stock Exchange

Number of pages: 31 Posted: 18 Dec 2000
Keiichi Omura, Yasuhiko Tanigawa and Jun Uno
Waseda University - Graduate School of Commerce, Waseda University - Graduate School of Commerce and Waseda University
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Citation 4

Abstract:

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Limit orders, market orders, execution probabilities, probit model, tick-by-tick data, bid-ask spreads