Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - In: Review of Financial Studies 18 (2005) 4, pp. 1171-1217
We develop a dynamic model of a limit order market populated by strategic liquidity traders of varying impatience. In equilibrium, patient traders tend to submit limit orders, whereas impatient traders submit market orders. Two variables are the key determinants of the limit order book dynamics...