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Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist

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  • Baye, M.R.
  • Gillette, A.
  • De Vries, C.G.

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  • Baye, M.R. & Gillette, A. & De Vries, C.G., 1993. "Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist," Papers 10-93-10a, Pennsylvania State - Department of Economics.
    • Handle: RePEc:fth:pensta:10-93-10a
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    References listed on IDEAS

    as
    1. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    2. O'Hara, Maureen & Oldfield, George S., 1986. "The Microeconomics of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(4), pages 361-376, December.
    3. 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.
    4. Gould, John P & Verrecchia, Robert E, 1985. "The Information Content of Specialist Pricing," Journal of Political Economy, University of Chicago Press, vol. 93(1), pages 66-83, February.
    5. Madhavan, Ananth, 1992. "Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    6. Baye, Michael R. & Kovenock, Dan & de Vries, Casper G., 1992. "It takes two to tango: Equilibria in a model of sales," Games and Economic Behavior, Elsevier, vol. 4(4), pages 493-510, October.
    7. Mirman, Leonard J & Samuelson, Larry, 1989. "Information and Equilibrium with Inside Traders," Economic Journal, Royal Economic Society, vol. 99(395), pages 152-167, Supplemen.
    8. repec:bla:jfinan:v:43:y:1988:i:1:p:83-95 is not listed on IDEAS
    9. repec:bla:econom:v:57:y:1990:i:227:p:283-93 is not listed on IDEAS
    10. Spiegel, Matthew & Subrahmanyam, Avanidhar, 1992. "Informed Speculation and Hedging in a Noncompetitive Securities Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 307-329.
    11. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    12. Domowitz, Ian, 1990. "The mechanics of automated trade execution systems," Journal of Financial Intermediation, Elsevier, vol. 1(2), pages 167-194, June.
    13. Henk Berkman, 1990. "Intraday Patterns in the Quoted Spread on the Options Exchange and the Influence of the Limit-Orderbook," Revue Économique, Programme National Persée, vol. 41(5), pages 789-798.
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    Cited by:

    1. Deltas, George & Engelbrecht-Wiggans, Richard, 2001. "Auctions with an inexpert bidder," Economics Letters, Elsevier, vol. 73(1), pages 35-42, October.
    2. Maarten C.W. Janssen & Santanu Roy, 2023. "Information Uncertainty," Departmental Working Papers 2306, Southern Methodist University, Department of Economics.

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    Keywords

    information ; pricing;

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