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Equilibrium in a Dynamic Limit Order Market

Citations

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Cited by:

  1. Paolo Pellizzari & Dan Ladley, 2014. "The simplicity of optimal trading in order book markets," Working Papers 2014:05, Department of Economics, University of Venice "Ca' Foscari".
  2. Moinas, Sophie, 2010. "Hidden Limit Orders and Liquidity in Order Driven Markets," IDEI Working Papers 600, Institut d'Économie Industrielle (IDEI), Toulouse.
  3. Katarzyna Bień-Barkowska, 2014. "“Every move you make, every step you take, I’ll be watching you” – the quest for hidden orders in the interbank FX spot market," Bank i Kredyt, Narodowy Bank Polski, vol. 45(3), pages 197-224.
  4. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
  5. Jiho Park, 2024. "Heterogeneous Beliefs Model of Stock Market Predictability," Papers 2406.08448, arXiv.org.
  6. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 636-661, December.
  7. Degryse, H.A. & van Achter, M. & Wuyts, G., 2012. "Internalization, Clearing and Settlement, and Liquidity," Other publications TiSEM 3744cb8d-b4ce-47a1-9abd-f, Tilburg University, School of Economics and Management.
  8. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
  9. Degryse, Hans & Van Achter, Mark & Wuyts, Gunther, 2009. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Journal of Financial Economics, Elsevier, vol. 91(3), pages 319-338, March.
  10. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2017. "Dark pool trading strategies, market quality and welfare," Journal of Financial Economics, Elsevier, vol. 124(2), pages 244-265.
  11. Roberto Pascual & David Veredas, 2010. "Does the Open Limit Order Book Matter in Explaining Informational Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 57-87, Winter.
  12. Jose S. Penalva & Mikel Tapia, 2021. "Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 143-177, March.
  13. Doraszelski, Ulrich & Satterthwaite, Mark, 2007. "Computable Markov-Perfect Industry Dynamics: Existence, Purification, and Multiplicity," CEPR Discussion Papers 6212, C.E.P.R. Discussion Papers.
  14. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
  15. Chris D'Souza & Ingrid Lo & Stephen Sapp, 2007. "Price Formation and Liquidity Provision in Short-Term Fixed Income Markets," Staff Working Papers 07-27, Bank of Canada.
  16. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  17. Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier, 2010. "Trading and Liquidity with Limited Cognition," TSE Working Papers 10-242, Toulouse School of Economics (TSE).
  18. Wing Wah Tham & Elvira Sojli & Johannes A. Skjeltorp, 2018. "Cross-Sided Liquidity Externalities," Management Science, INFORMS, vol. 64(6), pages 2901-2929, June.
  19. Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018. "Belief-free price formation," Journal of Financial Economics, Elsevier, vol. 127(2), pages 342-365.
  20. Shu-Fan Hsieh & Hsiu-Kuei Chen & Tai Ma, 2012. "Market Transparency, Investor Strategies, and Trading Costs: Evidence from the Taiwan Stock Exchange," Accounting and Finance Research, Sciedu Press, vol. 1(1), pages 180-180, May.
  21. Larson, Nathan, 2011. "Clustering on the same news sources in an asset market," MPRA Paper 32823, University Library of Munich, Germany.
  22. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
  23. Duong, Huu Nhan & Kalev, Petko S., 2013. "Anonymity and order submissions," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 101-118.
  24. Raymond P. H. Fishe & Richard Haynes & Esen Onur, 2022. "Resiliency in the E‐mini futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 5-23, January.
  25. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
  26. Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017. "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers 1751, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  27. , & ,, 2010. "A theory of regular Markov perfect equilibria in dynamic stochastic games: genericity, stability, and purification," Theoretical Economics, Econometric Society, vol. 5(3), September.
  28. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
  29. Buti, Sabrina & Rindi, Barbara, 2013. "Undisclosed orders and optimal submission strategies in a limit order market," Journal of Financial Economics, Elsevier, vol. 109(3), pages 797-812.
  30. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
  31. Roman Gayduk & Sergey Nadtochiy, 2015. "Liquidity Effects of Trading Frequency," Papers 1508.07914, arXiv.org, revised May 2017.
  32. Ye, Linlin, 2024. "Understanding the impacts of dark pools on price discovery," Journal of Financial Markets, Elsevier, vol. 68(C).
  33. Osler, Carol L. & Mende, Alexander & Menkhoff, Lukas, 2011. "Price discovery in currency markets," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1696-1718.
  34. van Achter, Mark, 2008. "Dynamic limit order market with diversity in trading horizons," CFS Working Paper Series 2008/46, Center for Financial Studies (CFS).
  35. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
  36. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  37. Korolev, V.Yu. & Chertok, A.V. & Korchagin, A.Yu. & Zeifman, A.I., 2015. "Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes," Applied Mathematics and Computation, Elsevier, vol. 253(C), pages 224-241.
  38. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
  39. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinländer, Thorsten, 2015. "Relative liquidity and future volatility," Journal of Financial Markets, Elsevier, vol. 24(C), pages 25-48.
  40. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
  41. Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M., 2013. "Tick Size Regulation and Sub-Penny Trading," Working Paper Series 2013-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  42. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2014. "Dark Pool Trading Strategies, Market Quality and Welfare," Working Papers 530, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  43. M. Derksen & B. Kleijn & R. de Vilder, 2019. "Clearing price distributions in call auctions," Papers 1904.07583, arXiv.org, revised Nov 2019.
  44. Wang, Ming-Chang & Cheng, Lee-Young & Ko, Chien-Chuan & Chou, Pang-Ying, 2018. "Does public latency influence market quality? An analysis of pre-trade transparency at the Taiwan futures exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 227-240.
  45. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
  46. Huang, Roger D. & Ting, Christopher, 2008. "A functional approach to the price impact of stock trades and the implied true price," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 1-16, January.
  47. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  48. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  49. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
  50. Steffen Eibelshäuser & Victor Klockmann & David Poensgen & Alicia von Schenk, 2023. "The Logarithmic Stochastic Tracing Procedure: A Homotopy Method to Compute Stationary Equilibria of Stochastic Games," INFORMS Journal on Computing, INFORMS, vol. 35(6), pages 1511-1526, November.
  51. Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  52. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
  53. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
  54. Wu, Liang & Yan, Xin & Fu, Zhiming & Zhang, Rui, 2019. "Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market," Finance Research Letters, Elsevier, vol. 28(C), pages 275-280.
  55. Çetin, Umut & Waelbroeck, Henri, 2023. "Power laws in market microstructure," LSE Research Online Documents on Economics 120809, London School of Economics and Political Science, LSE Library.
  56. Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2020. "Frictional Intermediation in Over-the-Counter Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(3), pages 1432-1469.
  57. H�lena Beltran-Lopez & Joachim Grammig & Albert J. Menkveld, 2012. "Limit order books and trade informativeness," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 737-759, October.
  58. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 93-117, January.
  59. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
  60. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
  61. Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017. "Trading Fees and Intermarket Competition," Working Papers 595, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
  63. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
  64. Peter Gomber & Uwe Schweickert & Erik Theissen, 2015. "Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach," European Financial Management, European Financial Management Association, vol. 21(1), pages 52-78, January.
  65. Kubota, Keiichi & Takehara, Hitoshi, 2009. "Information based trade, the PIN variable, and portfolio style differences: Evidence from Tokyo stock exchange firms," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 319-337, June.
  66. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2022. "Plumbing of Securities Markets: The Impact of Post-trade Fees on Trading and Welfare," Management Science, INFORMS, vol. 68(1), pages 635-653, January.
  67. Wilson, Nathan E., 2012. "Uncertain regulatory timing and market dynamics," International Journal of Industrial Organization, Elsevier, vol. 30(1), pages 102-115.
  68. Rannou, Yves, 2019. "Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures," Economic Modelling, Elsevier, vol. 81(C), pages 387-410.
  69. Michael Fleming & Giang Nguyen & Francisco Ruela, 2024. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Management Science, INFORMS, vol. 70(1), pages 332-354, January.
  70. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Series Working Papers 2006-W08, University of Oxford, Department of Economics.
  71. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Spoilt for choice: Order routing decisions in fragmented equity markets," SAFE Working Paper Series 143, Leibniz Institute for Financial Research SAFE.
  72. Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
  73. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
  74. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
  75. Ulrich Doraszelski & Mark Satterthwaite, 2007. "Computable Markov-Perfect Industry Dynamics: Existence, Purification, and Multiplicity," Levine's Bibliography 321307000000000912, UCLA Department of Economics.
  76. Stenfors, Alexis & Susai, Masayuki, 2019. "Liquidity withdrawal in the FX spot market: A cross-country study using high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 36-57.
  77. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2017. "A behavioural model of investor sentiment in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 71-86, January.
  78. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2017. "The Price Effects of Liquidity Shocks: A Study of SEC’s Tick-Size Experiment," CEPR Discussion Papers 12486, C.E.P.R. Discussion Papers.
  79. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
  80. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  81. Mircea BAHNA & Cosmin-Octavian CEPOI & Bogdan Andrei DUMITRESCU & Virgil DAMIAN, 2018. "Estimating the Price Impact of Market Orders on the Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 120-133, December.
  82. Rakowski, David & Wang Beardsley, Xiaoxin, 2008. "Decomposing liquidity along the limit order book," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1687-1698, August.
  83. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
  84. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  85. Chaboud, Alain & Hjalmarsson, Erik & Zikes, Filip, 2021. "The evolution of price discovery in an electronic market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  86. Jiangze Bian & Kalok Chan & Donghui Shi & Hao Zhou, 2018. "Do Behavioral Biases Affect Order Aggressiveness?," Review of Finance, European Finance Association, vol. 22(3), pages 1121-1151.
  87. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
  88. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2023. "Market conditions and order-type preference," International Review of Financial Analysis, Elsevier, vol. 87(C).
  89. Xing, Xiaochuan & Xue, Yi, 2017. "Trading mechanisms and market quality: Limit-order books versus dealership markets," Economics Letters, Elsevier, vol. 154(C), pages 35-44.
  90. Lijian Wei & Wei Zhang & Xiong Xiong & Yu Zhao, 2014. "A Multi‐agent System for Policy Design of Tick Size in Stock Index Futures Markets," Systems Research and Behavioral Science, Wiley Blackwell, vol. 31(4), pages 512-526, July.
  91. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
  92. Ingrid M. Werner & Barbara Rindi & Sabrina Buti & Yuanji Wen, 2023. "Tick Size, Trading Strategies, and Market Quality," Management Science, INFORMS, vol. 69(7), pages 3818-3837, July.
  93. Paolo Mazza & Mikael Petitjean, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.
  94. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
  95. Ningyuan Chen & Steven Kou & Chun Wang, 2018. "A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure," Management Science, INFORMS, vol. 64(2), pages 784-803, February.
  96. Valenzuela, Marcela & Zer, Ilknur, 2013. "Competition, signaling and non-walking through the book: Effects on order choice," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5421-5435.
  97. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  98. Alexis Stenfors & Masayuki Susai, 2017. "Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market," Working Papers in Economics & Finance 2017-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  99. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
  100. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  101. Dmitriy Muravyev & Neil D Pearson & Stijn Van Nieuwerburgh, 2020. "Options Trading Costs Are Lower than You Think," The Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 4973-5014.
  102. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
  103. Paolo Pellizzari, 2011. "Optimal trading in a limit order book using linear strategies," Working Papers 2011_16, Department of Economics, University of Venice "Ca' Foscari", revised Sep 2011.
  104. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
  105. Rose, Annica, 2014. "The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 171-184.
  106. Chung, Kee H. & Lee, Albert J. & Rösch, Dominik, 2020. "Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program," Journal of Financial Economics, Elsevier, vol. 136(3), pages 879-899.
  107. Albuquerque, Rui & Song, Shiyun & Yao, Chen, 2020. "The price effects of liquidity shocks: A study of the SEC’s tick size experiment," Journal of Financial Economics, Elsevier, vol. 138(3), pages 700-724.
  108. Faith Chin & Corey Garriott, 2016. "Options Decimalization," Staff Working Papers 16-57, Bank of Canada.
  109. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
  110. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
  111. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
  112. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 527-545.
  113. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  114. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
  115. Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013. "Sub-Penny and Queue-Jumping," Working Paper Series 2013-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  116. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
  117. Roman Gayduk & Sergey Nadtochiy, 2016. "Endogenous Formation of Limit Order Books: Dynamics Between Trades," Papers 1605.09720, arXiv.org, revised Jun 2017.
  118. Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
  119. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
  120. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
  121. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  122. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
  123. Anwer S. Ahmed & Yiwen Li & Nina Xu, 2020. "Tick Size and Financial Reporting Quality in Small‐Cap Firms: Evidence from a Natural Experiment," Journal of Accounting Research, Wiley Blackwell, vol. 58(4), pages 869-914, September.
  124. Coluzzi, Chiara & Ginebri, Sergio, 2008. "Order Dynamics in the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08050, University of Molise, Department of Economics.
  125. Bruno Biais & Christophe Bisière & Chester Spatt, 2010. "Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq," Management Science, INFORMS, vol. 56(12), pages 2237-2250, December.
  126. Petter Dahlström & Björn Hagströmer & Lars L. Nordén, 2024. "The determinants of limit order cancellations," The Financial Review, Eastern Finance Association, vol. 59(1), pages 181-201, February.
  127. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  128. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
  129. Lorne N. Switzer & Haibo Fan, 2010. "Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 11-35, April.
  130. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinlander, Thorsten, 2015. "Relative liquidity and future volatility," LSE Research Online Documents on Economics 62181, London School of Economics and Political Science, LSE Library.
  131. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
  132. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
  133. Gabriel Y. Weintraub & C. Lanier Benkard & Benjamin Van Roy, 2010. "Computational Methods for Oblivious Equilibrium," Operations Research, INFORMS, vol. 58(4-part-2), pages 1247-1265, August.
  134. Albert S. Kyle & Anna A. Obizhaeva, 2016. "Market Microstructure Invariance: Empirical Hypotheses," Econometrica, Econometric Society, vol. 84(4), pages 1345-1404, July.
  135. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
  136. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 107-141, February.
  137. Piotr Fryzlewicz & Thorsten Rheinlander & Marcela Valenzuela & Ilknur Zer, 2014. "Relative Liquidity and Future Volatility," Finance and Economics Discussion Series 2014-45, Board of Governors of the Federal Reserve System (U.S.).
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