My research includes two parts. In the first part of my research, I classify marketable limit orders into three different types: large... Show moreMy research includes two parts. In the first part of my research, I classify marketable limit orders into three different types: large marketable order to buy, large marketable order to sell, and small marketable order. I use dummy variance method to research the effect of the three marketable orders on standardized variance, and find that LMOB and LMOS play significant role in variance increase. The second part of my research is about modelling of time to execution and time to cancellation of Non-marketable limit orders. I construct variables and model time to execution for NLO to buy and time to cancellation for NLO to buy and NLO to sell based on exponential distribution with accelerated failure time specification. My research shows that the longer the distance of limit price to buy away from the best bid price, the longer time to execution is. The longer the distance of limit price to buy away from the best bid price or limit price to sell away from the best ask price, the longer the time to cancellation is. Show less
