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Limit Order Markets

In: Lecture Notes in Market Microstructure and Trading

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  • Peter Joakim Westerholm

Abstract

The following sections are included:Order driven markets — IntroductionThe Uniform-Pricing Rule and Single-Price AuctionsThe Discriminatory-Pricing Rule and Continuous Two-Sided AuctionsThe Derivative Pricing Rule and Crossing NetworksSummary and Points to RememberGPR(2005) Discussion Paper Limit Order BooksGPR(2005) Methodology and ModelGPR(2005) Simulation of modelGPR(2005) ResultsFuture Research Stemming from GPR(2005)Pagano and Roell (1996)The continuous auction, harder to analyze pp. 590–591Endogenous insider trading without pre-commitment to a strategy: The case of different trade sizes (large and small) — Future Research from Pagano and Roell (1996)

Suggested Citation

  • Peter Joakim Westerholm, 2019. "Limit Order Markets," World Scientific Book Chapters, in: Lecture Notes in Market Microstructure and Trading, chapter 14, pages 209-220, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813234109_0014
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    Keywords

    Trading; Securities Markets; Priced Discovery; Liquidity; Microstructure; Investments;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General

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