Hollifield, Burton; Miller, Robert A.; Sandås, Patrik - In: Review of Economic Studies 71 (2004) 4, pp. 1027-1063
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...
