We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order...

We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order...

This paper analyzes a new estimator for the structural parameters of dynamic models of discrete choice. Based on an inversion theorem due to V. J. Hotz and R. Miller (1993), which establishes the existence of a one-to-one mapping between the conditional valuation functions for the dynamic...