Working Orders in Limit Order Markets and Floor Exchanges
We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to a block order equilibrium in a limit order market. Copyright 2007 by The American Finance Association.
Year of publication: |
2007
|
---|---|
Authors: | BACK, KERRY ; BARUCH, SHMUEL |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 62.2007, 4, p. 1589-1621
|
Publisher: |
American Finance Association - AFA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Working orders in limit order markets and floor exchanges
Back, Kerry E., (2007)
-
Strategic liquidity provision in limit order markets
Back, Kerry E., (2013)
-
Information in securities markets : Kyle meets Glosten and Milgrom
Back, Kerry E., (2004)
- More ...