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Slow and fast markets

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  • Polimenis, Vassilis

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  • Polimenis, Vassilis, 2005. "Slow and fast markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 576-593.
    • Handle: RePEc:eee:jebusi:v:57:y:2005:i:6:p:576-593
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    References listed on IDEAS

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    1. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    2. Glosten, Lawrence R, 1994. "Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-1161, September.
    3. Viswanathan, S. & Wang, James J. D., 2002. "Market architecture: limit-order books versus dealership markets," Journal of Financial Markets, Elsevier, vol. 5(2), pages 127-167, April.
    4. Tano Santos & Jose A. Scheinkman, 2001. "Competition among Exchanges," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(3), pages 1027-1061.
    5. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    6. Kerry Back & Shmuel Baruch, 2004. "Information in Securities Markets: Kyle Meets Glosten and Milgrom," Econometrica, Econometric Society, vol. 72(2), pages 433-465, March.
    7. Christine A. Parlour & Duane J. Seppi, 2003. "Liquidity-Based Competition for Order Flow," The Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 301-343.
    8. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," The Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-150.
    9. Vassilis Polimenis, 2005. "A realistic model of market liquidity and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(5), pages 443-464, May.
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