Tail expectation and imperfect competition in limit order book markets
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DOI: 10.1016/j.jet.2019.07.008
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Citations
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Cited by:
- Andrea Attar & Thomas Mariotti & François Salanié, 2021.
"Entry-Proofness and Discriminatory Pricing under Adverse Selection,"
American Economic Review, American Economic Association, vol. 111(8), pages 2623-2659, August.
- Attar, Andrea & Mariotti, Thomas & Salanié, François, 2017. "Entry-Proofness and Discriminatory Pricing under Adverse Selection," TSE Working Papers 17-788, Toulouse School of Economics (TSE), revised Jan 2021.
- Andrea Attar & Thomas Mariotti & François Salanié, 2021. "Entry-proofness and discriminatory pricing under adverse selection," Post-Print hal-03353054, HAL.
- Andrea Attar & Thomas Mariotti & François Salanié, 2021. "Entry-proofness and discriminatory pricing under adverse selection," Working Papers hal-03485384, HAL.
- Mouhamad Drame, 2020. "Limit Order Book (LOB) shape modeling in presence of heterogeneously informed market participants," Papers 2009.02808, arXiv.org.
- Ravi Jagannathan, 2022.
"On Frequent Batch Auctions for Stocks [Tail Expectation and Imperfect Competition in Limit Order Book Markets],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(1), pages 1-17.
- Ravi Jagannathan, 2019. "On Frequent Batch Auctions for Stocks," NBER Working Papers 26341, National Bureau of Economic Research, Inc.
- Attar, Andrea & Mariotti, Thomas & Salanié, François, 2021.
"Competitive Nonlinear Pricing under Adverse Selection,"
TSE Working Papers
21-1201, Toulouse School of Economics (TSE), revised Aug 2022.
- Andrea Attar & Thomas Mariotti & François Salanié, 2022. "Competitive nonlinear pricing under adverse selection," Working Papers hal-03629592, HAL.
- Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
- Ranjan R. Chakravarty & Sudhanshu Pani, 2021. "A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 617-652, December.
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More about this item
Keywords
Imperfect competition in schedules; Financial markets; Limit orders; Tail condition;All these keywords.
JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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