Trades in financial markets can be broadly divided into two types: limit orders, which are orders to buy or sell at some pre-specified price, and market orders, which are orders to buy or sell immediately at going market prices. Over the years there has been extensive discussion of the relative merits of these two types of order. A market order has the advantage of ensuring a trade, but only at the going market price. On the other hand, a limit order does not necessarily become active, but if it does, it generally gives the trader a better price than a market order. For example, Harris (1998) notes that informed traders prefer using market orders in highly liquid markets, and Danielsson and Payne (2002a) note that in periods of high trading activity market order traders have better information than limit order traders. In contrast, limit orders can be more attractive for order submission in the case of asymmetric information (Handa and Schwartz, 1996), and non- informed traders might prefer limit orders depending on their trading objectives.
16 Read more
This study examines the intra-day seasonalities of returns and volatilities in FX transactions. More specifically, it examines the intra-day return and volatility seasonalities for limit and market orders involving the DEM/USD exchange rate from the D2000–2 electronic FX broking system. The analysis is based on actual transaction data rather than the more common (but less reliable) use of indicative quotes in which there is no firm commitment to transact on the stated terms. Limit orders represent an order to buy or sell at some prespecified price, whereas market orders are orders for immediate execution at whatever price can be obtained.
22 Read more
Foucault’s (1999) theoretical model implies that when volatility increases, limit order traders ask for a higher compensation for the risk of being picked off, i.e. being executed when the market has moved against them. Based on these considerations, Ranaldo (2003) formulates the hypothesis that higher volatility induces less aggressive order submissions. The empirical evidence regarding this hypothesis is found in Bae, Jang, and Park (2003) and Danielson and Payne (2001) that find that traders place more limit orders respect to market orders when volatility is high, in the same direction Griffiths, Smith, Turnbull, and White (2000) and Ranaldo (2003) report less aggressive trades when temporary volatility increases. In order to test the hypothesis in the MDACP framework, we measure volatility as the standard deviation of the midquote returns during the last 5 minutes and include this indicator as a predetermined variable (in the results tables denoted VOLAT). The es- timation results for the aggregated system in table 4 are in accordance with the predictions expected from theory. Volatility exerts a negative impact on the most aggressive orders (market orders) and a positive impact on less aggressive orders (limit orders). Moreover, volatility impacts positively on cancelations on both sides of the book, which is in line with the prediction that as volatility increases, traders cancel their positions more frequently to avoid being picked off.
46 Read more
In my asset markets, exogenous trading targets constrain liquidity traders’ behavior. In principle, liquidity traders should be more active in trading by participating not only in liquidity demand but also in liquidity provision. This is what I observe in Table 3 under both transparent and opaque regimes. Since liquidity traders, especially large ones, have exogenous trading motives, they also trade faster and provide liquidity more aggressively at the top levels of the book. The di¤erence between transparent and opaque regimes is that traders also have the option to provide liquidity using undisclosed orders. Large liquidity traders use this option and shift about 20% of liquidity supply to undisclosed orders. It seems that they follow a mixed strategy of using both limit and undisclosed orders for liquidity provision, together with marketable orders to satify their liquidity needs and guarantee execution. Undisclosed orders allow liquidity traders to reduce order exposure and to control price risk and therefore complement both limit and marketable orders. However, at the same time, they reduce the execution probability due to the visibility priority rule. Large liquidity traders act strategically and improve execution probability by submitting limit orders more aggressively, rather than demanding more liquidity through marketable orders.
67 Read more
The HFT can also use pinging or sniping to discover hidden sliced orders. As described by Jiangmin Xu , pinging (otherwise known as aggressive fleeting orders), is a strategy used by HFTs in order to find and learn about hidden orders inside the Bid/Ask spread. A hidden order is placed inside the Limit Order Book without being observable to any of the market participants. An HFT submits limit orders which she shortly thereafter cancels, as was demonstrated in Table 9. The HFT is able to send large amounts of orders with different prices within a millisecond giving her the advantage that eventually a matching order with a particular price will be cleared by the market . Ping orders work practically like a sonar in the ocean, they detect a trade in the Limit Order Book. Once detected, the HFT then is able to intercept the whole order all to herself before anyone else can . The pinging technique currently is considered to be legal and is allowed by many exchanges around the world [35, 36]. However some experts have the opinion that it is not a legal technique, or that it should not be, due to the fact that it violates many of the same regulations that are violated by spoofing (and other similar techniques) which is illegal . When we consider the activity of pinging to our hidden sliced order example here, the HFT cycles through a wide range of orders. When the HFT however stumbles on a large hidden order she will again move in front of the traders by buying up all the stock that she feels is of interest and the HFT will again exploit the increased resale price strategy . Dark pools are often thought of being more anonymous than registered exchanges. The thought is that therefore trading on a dark pool would make it much more difficult to be front run. Theoretically this is true, however several dark pools have been accused of selling access to trading data to high-frequency traders, consequently they are now facing lawsuits. HFTs nevertheless use pinging on dark pools just like they would do on registered exchanges to sniff out large orders and subsequently use the same tactics to maximize their profits . As mentioned earlier, dark pools do not log consolidated quote data however they do log consolidated trade data. This fact is used by the HFT, as when an order gets cleared this information is being flashed and could be used for exploitation by the skilled HFT.
81 Read more
A single disruptive order is designed by traders by tuning the quoted price, volume and life cycle of the submitted limit orders, which are usually designed and placed to the market individually with no sequential relations. To detect such types of disruptive orders, the proposed model is to monitor each trading order individually and compare it with historical legitimate trading behaviours to recognise manipulative patterns. If represented through the transformed impulse , as shown in Figure 3, the disruptive orders are against most of the legitimate trading behaviours. In an anomaly detection area, one-class support vector machine (OCSVM) is one of the most ideal algorithms to provide a direct description of the boundary (the support vectors) between anomalies and normalities (Schölkopf, Platt, Shawe-Taylor, Smola, & Williamson, 2001 ) (Hayton, et al., 2006). OCSVM applied to single- disruptive-order detection provides a measure of disruptive orders by learning a representation of normal and legitimate trading orders. Therefore, in this paper, OCSVM is proposed as the “Single Order Detection” module in Figure 5. As discussed in Algorithm 1, the original limit orders are transformed and then used to construct the impulse vector
43 Read more
Most limit orders exit the market as cancellations or revisions without a transaction. Using the EBS dataset, we can measure how long an individual limit order remains in the foreign exchange (FX) market. Thus, we use the measured lifetimes of canceled limit orders and find that post-order-placement changes in market price and limit order book depth affect cancellations, consistent with optimal behaviors that consider both order placement and order exit. FX dealers cancel their limit orders faster as the depth increases at better quotes. When market prices move away from their submitted quotes, patient dealers exhibit greater forbearance for their worsened position.
67 Read more
order-driven market, as in Chiarella et al. (2009). Within their budget con- straints, agents can place market orders or limit orders for arbitrary quan- tities. Limit orders are stored in the book and executed (partially or com- pletely) when they find a matching market order on the opposite side. A market order is filled completely if it finds enough capacity on the book, or partially otherwise. The motivation to use an order-driven market is to avoid the limitations of the market maker approach in which there is no explicit mechanism of trading. In fact, the market maker, typically risk neutral and endowed with unbounded liquidity, absorbs excess demand and makes trad- ing always viable, regardless of its size. In each period, the market maker adjusts the price to reduce the excess demand. Inspired by the metaphor of the Walrasian tˆ atonnement, this price-adjusting rule fails to recognize that in a real market trade occurs whenever two agents can match their requests at a given price. Because of the simplistic pricing rule adopted by the mar- ket maker, herding (that normally leads to a large excess demand) has an obvious and immediate impact on prices.
31 Read more
When we evaluate the specific indicators, we find that the average distance to the next order is decreased with 11.3%. This is an indication that the solution is more clustered. However, the average radius of the trips is slightly higher than in the original plan. When we evaluate the more detailed information, we find that the radius of the trips driven with the shift work vehicles have a better radius than those vehicles in the original plan. The average radius is increased by the short multiple day vehicles. There are still 55 cities that are visited by a truck more times than necessary. Although, this number is lower than in the original plan, it is relatively high in comparison to most other approaches. By evaluating the trips, we find two causes. For the first cause, we evaluate the visual attractiveness of cities that should be visited by two vehicles or more. In these cities, we find one clustered route. However, the remaining orders are more scattered in the border of the city and therefore, in most cases, assigned to different trips. The Hague is a city where we find this behavior (Figure 50). We also find another cause, in which we have a larger city with multiple orders that is visited by one vehicle. However, there is another city, with also more than one order, in the neighborhood. Not all orders in this second city fit into the vehicle. Therefore, that city is visited by two vehicles. Figure 51 gives such as situation. The orders in Arnhem are clustered in one route (an improvement compared to the original plan). However, the vehicle is not full yet. Therefore, three orders in Apeldoorn are added to the trip. Consequently, the other three orders in Apeldoorn need to be delivered with a separate vehicle.
99 Read more
Our survey instrument underwent limited validation. That a high number of respondents accurately identi- fi ed the correct defi nition of DNR might be a reﬂ ection of how the question was asked, rather than a reﬂ ection of patient knowledge, and results might have been con- taminated by the inclusion of the correct defi nition on a separate page in the survey (accessible to all partici- pants but intended for the DNR-naïve respondents). This survey was administered in family physicians’ offi ces, which might have biased respondents’ choice of per- son they most preferred to discuss DNR orders with. The study was relatively small, and fi ndings might not be generalizable to rural, suburban, or other populations. Religion and education were not explored in this study and might play important roles in patients’ attitudes toward this subject.
nowhere. It is n e w even for Noetherian orders which Stafford has recently shown have semi-local quotient rings and hence are additive regular. This leads us to consider the existence of the rings Rp and and we find that there are two natural chain conditions to *put on R namely r-Noetherian and r-x-Noetherian (see Chapter three). The latter condition gives
94 Read more
Virtually every surrogacy case that reaches the higher courts involves the judges emphasising the need for caution, warning against the dangers of lack of regulation and of international agreement, and bringing attention to the emotive challenges before the court when faced with children whose interests are palpably served by remaining with the loving couple bringing them up but for whom the legal process has thrown up counter-considerations. The safest solution would be to abolish parental orders and allow the existing adoption legislation to tackle these problems utilising principles already developed over the course of many decades. That is unlikely to happen and so the clash between social policy and individual welfare can only properly be resolved, without emotion and in a manner consistent with the Rule of Law itself, if the child’s interests are confined to the appropriate stage of the judicial decision-making process – which is the determination of the outcome of the case once the competency determining conditions-precedent for the making of the order sought have been satisfied. The cases involving the time-limit failed to do so but at the end of the day that particular condition is the one with the least rationale: it achieves, in other words, no obvious benefit to anyone. So long as these cases are kept within their own boundaries, and considerations of welfare are constrained as suggested above, they will have no wider impact and if, as is probably inevitable, 143
29 Read more
significant factor in the child or young person’s behaviour, and a parenting intervention is necessary, it would work with the parents on a voluntary basis, possibly using a parenting contract. Where the voluntary approach has failed or is not appropriate YOTs can work with parents through a parenting order. This work with parents should be planned and delivered so as to complement work with the child or young person. The YOT should involve both parents unless there are reasons why it should not do so. The local authority parenting strategy and any youth justice plan should set out the arrangements for delivering parenting orders and parenting support more generally. Parents have varying needs and interventions should be tailored to meet them. YOTs need to provide a menu of parenting services: one to one support and group programmes and referral to specialist parenting support services where required. c) Overview of parenting contracts and
49 Read more
The plastic limit, given by the rolling test, has a long history in geotechnics. In this paper it will be shown that while the test appears unscientific, the test is actually well designed to test the onset of brittleness in a way that is not the case with the alternatives proposed to date.The plastic limit or the lower limit of plasticity is found in the following way: take some of the previous clay paste (it is often advantageous to mix this with some clay powder), and roll into wires with the fingers on a pad of paper. The wires are put together and are rolled out again until they break into chunks. If the wires break into shorter pieces, this has no meaning, if the pieces, when combined, can be rolled out again.
12 Read more
ASBOs are civil Orders made by a court which prohibit the perpetrator from specifi c anti-social acts and from entering defi ned areas on a map, usually referred to as exclusion zones. An Order can be made against anyone aged 10 years or over who has acted in an anti-social manner (i.e. behaving in a way that caused, or is likely to cause, harassment, alarm or distress to others not of the same household), and where an Order is needed to protect persons from further anti-social acts. ASBOs should be used in conjunction with other measures of intervention and support as part of a tiered approach to tackling anti-social behaviour. The approach to ASBOs made against a young person is generally the same as for adults.
28 Read more
Abstract: There are several processes that must be passed before the dishes ate the customer’s table. The first is looking at the menu, the second is ordering the dishes to the waiter and then the waiter noted the orders, and the last is the waiter handed over the order notes to the kitchen section. These steps have some obstacles, such as unreadable the writers writing, random queue, and the out of date of the kitchen stocks. Nowadays, the technology is growing rapidly, so it should be used maximally. There is a way to shorten the steps with “Android-based food ordering app”. A combination of wireless technology and mobile android/tablet. It ease the customers to order when they arrived at the restaurant. They just click the menu which they want at the tablet, after that the orders will be in the system automatically. In addition to ease the waiter, it also makes the customers feel more comfortable. The application is also show favorite menu selection for a recommendation to new customer of Taichan Kumis.
15 Read more
were incorporated from LANDSAT ETM+, October, 22, 2000 (www.landsat.org). The ordering of drainage reached to the fifth order as highest order in both sub-catchments (Fig. 3). The software package which was used is ArcGIS, GIS software. The symbols of the parameters used are of standard usages. The parameters computed include stream orders and stream numbers, cumulative length and stream orders, mean cumulative length and stream orders, stream length ratio, bifurcation ratio, drainage density, stream frequency, form factor, circulatory ratio, elongation ratio, constant of channel maintenance, relative relief, percentage of slope, and relief ratio. The statistical methods were also applied to validate data and to obtain further precise results. The various aspects were studied for their inter-relationship which helps to depict the nature of the sub-catchments.
The Orders follow the now familiar hybrid pattern of law involving civil prohibitions and criminal enforcement. An Order will place prohibitions on individuals to desist from certain behaviour and if breached that person commits an offence and becomes liable for prosecution in the criminal courts. The prosecution is, of course, for the technical, administrative offence of breaching conditions and does not, for example, imply any substantive sexual offence has taken place. Some commentators have referred to the 'two-step prohibition' nature of such laws to describe how the civil law is used first and the criminal law follows up if there is breach of the civil order (von Hirsch & Simester, 2006).
16 Read more
The supertranslation properties of the component fields of a general linear supermultiplet and of a chiral multiplet were reported to all orders in the translation parameters and in (21-29) and (32-34), respectively. On the one hand, one can think of these results as explicit pa- rametrizations of orbits of supertranslations in the space of component fields of a supersymmetric theory. On the other hand, one can consider the transformed fields as superfields in the variables x , , , because e.g.
process, but it will decrease the amount of orders that will return to the storage facility. As a major part of all returned orders are caused by the fact that the restaurant owner is not present, this solution would be the first solution that should be implemented. The downside of this solution is that it will increase initial costs, but the upside is that the service will improve and the returned orders will decrease. Due to the fact that the size of the issues never has been mapped before, this solution was not already used. But an initial study to the feasibility of this solution has been done. The implementation of the option for restaurant owners to choose a time window for delivery in the web shop can be done without much difficulties. The delivery part, DPD, also offers time window-based delivery options. This increases the feasibility of this solution.
51 Read more