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<meta content="Jeyasreedharan, Nagaratnam" name="eprints.creators_name" />
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<meta content="Market participants who want to trade “quickly” demand transactional liquidity. Market participants who demand to trade “immediately” demand transactional immediacy. Traders supply immediacy when the trading returns are high and demand immediacy when the trading returns are low. Traders supply immediacy by being non-immediate and traders demand immediacy by being immediate. As these time-based expectations are functions of the underlying distributions of the clearing prices, one is able to define exact analytical functions for time-differing non-immediacy traders. As non-immediacy is heterogenous, a range of non-immediacy traders with differing non-immediacies can compete in the marketplace and give rise to a “zone” of limit order functions. The bid-ask expectations are also assumed to be rank-dependent to maintain transitivity and monotonicity. The limit orders placed by non-immediacy traders can then be “picked” off by immediacy traders as they arrive at the exchange. A simulation of a simple trading model is undertaken to illustrate the mechanism of price formation under rank-dependent non-immediacy trading. In doing so, we show that immediacy is a consequence of non-immediacy trading and is provided freely in any organised asset markets when participants transmit their demand propensities to the market in the form of limit orders. While certain participants such as dealers and specialists do indeed (at a price) provide immediacy, they need not be the only providers." name="eprints.abstract" />
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<meta content="Black, F, 1995, Equilibrium exchanges, Financial Analysts Journal 51, 23-30.
Cohen, J K, S F Maier, R A Schwartz, and D K Whitcomb, 1981, Transaction costs, order placement strategy, and existence of the bid-ask spread, Journal of Political Economy 89, 287-305.
Cohen, K J, S F Maier, R A Schwartz, and D K Whitcomb, 1979, Market makers and the market spread: A review of recent literature, Journal of Financial and Quantitative Analysis XIV, 813-868.
Dembo, R S, and A Freeman, 1998. Seeing tomorrow: Rewriting the rules of risk (John Wiley and Sons).
Demsetz, H, 1968, The cost of transacting, Quarterly Journal of Economics 82, 33-53.
Else, P, and P Curwen, 1990. Principles of Economics (Unwin Hyman, Boston).
Handa, P, and R A Schwartz, 1996, How best to supply liquidity to a securities market, Journal of Portfolio Management 22, 44-52.
Handa, P, R A Schwartz, and A Tiwari, 1998, The ecology of an order-driven market, Journal of Portfolio Management 24, 9.
Harris, L, 2002. Trading and Exchanges: Market Microstructure for Practitioners (Oxford University Press, New York).
Ho, T, R A Schwartz, and D K Whitcomb, 1985, The trading decision and market clearing under transaction price uncertainty, Journal of Finance 30, 21-43.
Jeyasreedharan, N, 2004, The Extremal Expectations Hypothesis, Unpublished PhD Thesis (Curtin University of Technology, Perth).
Keynes, J M, 1936. The General Theory of Employment, Interest and Money (Macmillan, London).
Quiggin, J, 1982, A theory of anticipated utility, Journal of Economic Behaviour and Organisation 3, 232-43.
Quiggin, J, 1985, Anticipated utility, subjectively weighted utility and Allias paradox, Organisational Behaviour and Human Performance 35, 94-101.
Quiggin, J, 1993. Generalised Expected Utility Theory: The Rank-Dependent Model (Kluwer Academic Publishers, Boston).
Schwartz, R A, 1988. Equity Markets: Structure, Trading and Performance (Harper and Row Publishers, New York).
Schwartz, R A, 2000, Building a better stock market: New solutions to old problems, The AEI-Brooking Joint Center Conference: ECNs and the Future of the Securities Markets (Washington).
Schwartz, R A, and D K Whitcomb, 1988, Transaction Costs and Institutional Trading Strategies, Monograph Series in Finance and Economics 1988-2/3 (Salomon Brothers Center for the Study of Financial Institutions and Leonard N Stern School of Business, New York University, New York).
Treynor, J L, 1987, The economics of the dealer function, Financial Analysts Journal 43,
27-35.
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<meta content="Market participants who want to trade “quickly” demand transactional liquidity. Market participants who demand to trade “immediately” demand transactional immediacy. Traders supply immediacy when the trading returns are high and demand immediacy when the trading returns are low. Traders supply immediacy by being non-immediate and traders demand immediacy by being immediate. As these time-based expectations are functions of the underlying distributions of the clearing prices, one is able to define exact analytical functions for time-differing non-immediacy traders. As non-immediacy is heterogenous, a range of non-immediacy traders with differing non-immediacies can compete in the marketplace and give rise to a “zone” of limit order functions. The bid-ask expectations are also assumed to be rank-dependent to maintain transitivity and monotonicity. The limit orders placed by non-immediacy traders can then be “picked” off by immediacy traders as they arrive at the exchange. A simulation of a simple trading model is undertaken to illustrate the mechanism of price formation under rank-dependent non-immediacy trading. In doing so, we show that immediacy is a consequence of non-immediacy trading and is provided freely in any organised asset markets when participants transmit their demand propensities to the market in the form of limit orders. While certain participants such as dealers and specialists do indeed (at a price) provide immediacy, they need not be the only providers." name="DC.description" />
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<h1 class="ep_tm_pagetitle">Yet Another Trading Simulation: The nonimmediacy Model</h1>
<p style="margin-bottom: 1em" class="not_ep_block"><span class="person_name">Jeyasreedharan, Nagaratnam</span> (2007) <xhtml:em>Yet Another Trading Simulation: The nonimmediacy Model.</xhtml:em> Discussion Paper. University of Tasmania, University of Tasmania.</p><p style="margin-bottom: 1em" class="not_ep_block"></p><table style="margin-bottom: 1em" class="not_ep_block"><tr><td valign="top" style="text-align:center"><a onmouseover="EPJS_ShowPreview( event, 'doc_preview_4436' );" href="http://eprints.utas.edu.au/3156/1/DP2007_11_Jeyasreedharan.pdf" onmouseout="EPJS_HidePreview( event, 'doc_preview_4436' );"><img alt="[img]" src="http://eprints.utas.edu.au/style/images/fileicons/application_pdf.png" class="ep_doc_icon" border="0" /></a><div class="ep_preview" id="doc_preview_4436"><table><tr><td><img alt="" src="http://eprints.utas.edu.au/3156/thumbnails/1/preview.png" class="ep_preview_image" border="0" /><div class="ep_preview_title">Preview</div></td></tr></table></div></td><td valign="top"><a href="http://eprints.utas.edu.au/3156/1/DP2007_11_Jeyasreedharan.pdf"><span class="ep_document_citation">PDF</span></a> - Requires a PDF viewer<br />419Kb</td></tr></table><p style="margin-bottom: 1em" class="not_ep_block">Official URL: <a href="http://www.utas.edu.au/ecofin/home/dispap_by-year/2007.htm">http://www.utas.edu.au/ecofin/home/dispap_by-year/2007.htm</a></p><div class="not_ep_block"><h2>Abstract</h2><p style="padding-bottom: 16px; text-align: left; margin: 1em auto 0em auto">Market participants who want to trade “quickly” demand transactional liquidity. Market participants who demand to trade “immediately” demand transactional immediacy. Traders supply immediacy when the trading returns are high and demand immediacy when the trading returns are low. Traders supply immediacy by being non-immediate and traders demand immediacy by being immediate. As these time-based expectations are functions of the underlying distributions of the clearing prices, one is able to define exact analytical functions for time-differing non-immediacy traders. As non-immediacy is heterogenous, a range of non-immediacy traders with differing non-immediacies can compete in the marketplace and give rise to a “zone” of limit order functions. The bid-ask expectations are also assumed to be rank-dependent to maintain transitivity and monotonicity. The limit orders placed by non-immediacy traders can then be “picked” off by immediacy traders as they arrive at the exchange. A simulation of a simple trading model is undertaken to illustrate the mechanism of price formation under rank-dependent non-immediacy trading. In doing so, we show that immediacy is a consequence of non-immediacy trading and is provided freely in any organised asset markets when participants transmit their demand propensities to the market in the form of limit orders. While certain participants such as dealers and specialists do indeed (at a price) provide immediacy, they need not be the only providers.</p></div><table style="margin-bottom: 1em" cellpadding="3" class="not_ep_block" border="0"><tr><th valign="top" class="ep_row">Item Type:</th><td valign="top" class="ep_row">Report (Discussion Paper)</td></tr><tr><th valign="top" class="ep_row">Additional Information:</th><td valign="top" class="ep_row">JEL Codes: D–Microeconomics; D01-Microeconomic Behaviour: Underlying Principles; D53-Financial Markets; D84-Expectations; Speculations.</td></tr><tr><th valign="top" class="ep_row">Keywords:</th><td valign="top" class="ep_row">REPEC, Immediacy; Nonimmediacy trading; Rank-dependent</td></tr><tr><th valign="top" class="ep_row">Subjects:</th><td valign="top" class="ep_row"><a href="http://eprints.utas.edu.au/view/subjects/340402.html">340000 Economics > 340400 Econometrics > 340402 Econometric and Statistical Methods</a><br /><a href="http://eprints.utas.edu.au/view/subjects/350302.html">350000 Commerce, Management, Tourism and Services > 350300 Banking, Finance and Investment > 350302 Financial Econometrics</a></td></tr><tr><th valign="top" class="ep_row">Collections:</th><td valign="top" class="ep_row">UNSPECIFIED</td></tr><tr><th valign="top" class="ep_row">ID Code:</th><td valign="top" class="ep_row">3156</td></tr><tr><th valign="top" class="ep_row">Deposited By:</th><td valign="top" class="ep_row"><span class="ep_name_citation"><span class="person_name">Ms Tracy Kostiuk</span></span></td></tr><tr><th valign="top" class="ep_row">Deposited On:</th><td valign="top" class="ep_row">07 Feb 2008 17:00</td></tr><tr><th valign="top" class="ep_row">Last Modified:</th><td valign="top" class="ep_row">07 Feb 2008 17:00</td></tr><tr><th valign="top" class="ep_row">ePrint Statistics:</th><td valign="top" class="ep_row"><a target="ePrintStats" href="/es/index.php?action=show_detail_eprint;id=3156;">View statistics for this ePrint</a></td></tr></table><p align="right">Repository Staff Only: <a href="http://eprints.utas.edu.au/cgi/users/home?screen=EPrint::View&eprintid=3156">item control page</a></p>
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