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[Editors' note: the author responses to the first round of peer review follow.] Thank you for reviewing our submission "Limits on information transduction through regulation of signaling dynamics".
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A Quora thread by Andrew Brown details how competitors weren't sure of answer submission time limits or format.
The time of submission of limit orders was the proxy for a bid-ask bounce effect on returns.
Trading margins influence the submission of limit orders, and hence the sustainability of futures trading and liquidity.
Therefore, the tick size and contract size influence the tick value, considering the rate of submission of limit orders.
Third, impact costs are higher during the entire time period for submission of limit orders (NSE trading hours from 09 55 IST to 15 30 IST), so there is a reduction effect on returns.
Therefore, the assumption was that as the daily market matures, i.e., moves from one daily period to another trading hours, the frequency of submission of limit orders will vary.
This result indicates that impact costs are higher in the entire trading time-period (trading hours from 09 55 IST to15 30 IST) of submission of limit orders and hence reduction effects on returns exist.
In these second stage mean equations, the time (trading hours) of submission of limit orders is incorporated using dummy variables D 1, D 2, and D 3 in order to examine the impact of each of these variables on the availability and reliability of financial resources.
Accordingly, to examine the impact of the time of submission of limit orders using the dummy variables, each one third of the study period was assigned a value of 1 or 0. D 1 was equal to 1 if the initial period of Nifty Futures trading (first 1/3 of the trading day) was considered to be morning hours trading (from 09 55 IST to 11 47 IST), and 0 otherwise.
The mock submission provided limited information about the protocols because these protocols are publicly available.
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