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Market versus limit orders in an imperfectly competitive security
Medrano, Luís A. - Department of Economics and Business, Universitat … - 1996
This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if...
Persistent link: https://www.econbiz.de/10005772345
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Liquidity Supply and Demand in Limit Order Markets
Hollifield, Burton; Miller, Robert A.; Sandås, Patrik; … - C.E.P.R. Discussion Papers - 2002
We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The best quotes and the execution probabilities and picking off risks of limit orders determine the price of immediacy. The price of immediacy...
Persistent link: https://www.econbiz.de/10005136412
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Intra-Day Seasonality in Foreign Market Transactions
Dowd, Kevin; Cotter, John - Geary Institute, University College Dublin - 2011
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties....
Persistent link: https://www.econbiz.de/10009143709
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The Speed of Information Revelation in a Financial Market Mechanism
Vives, Xavier - European Science Foundation Network in Financial … - 1992
Suppose that information about the value of a risky asset is dispersed among many agents in the economy. The paper studies the rate at which successive price quotations from competitive market makers, which reflect the desired (notional) trades of risk- averse informed agents, reveal the value...
Persistent link: https://www.econbiz.de/10005281273
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Limit Order Book as a Market for Liquidity
Foucault, Thierry; Kadan, Ohad; Kandel, Eugene - C.E.P.R. Discussion Papers - 2001
We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ in their impatience: less patient traders demand liquidity, more patient traders...
Persistent link: https://www.econbiz.de/10005114215
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What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
Pascual, Roberto; Veredas, David - In: Quantitative Finance 9 (2009) 5, pp. 527-545
In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a sequential ordered probit (SOP) model which allows studying patient and impatient traders' choices...
Persistent link: https://www.econbiz.de/10004966883
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Casino customers in Asian versus Western gaming jurisdictions: Implications for Western casino operators
Kale, Sudhir H.; Spence, Mark T. - 2009
follow an ethnocentric approach when planning marketing activities and customer service initiatives for Asian customers. To … Asian markets, there is an urgent need to empirically assess patron behavior and the attendant casino marketing adaptations … marketing strategies adapted to each casino's market structure and macro-environment. Regardless of context, this systematic …
Persistent link: https://www.econbiz.de/10009441736
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Spill-over effects in multi-sponsored events: Theoretical insights and empirical evidence
Pentecost, Robin D; Spence, Mark T - 2009
Schema congruency theory suggests that consumers’ judgments of a sponsoring firm’s brand, such as attitudes toward the brand, are influenced by the degree of similarity or fit between the event and the brand. In short, the better the perceived fit, the more likely that the positive...
Persistent link: https://www.econbiz.de/10009441744
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Designing and delivering compelling experiences: Insights from the 2008 Democratic National Convention
Kale, Sudhir H.; Pentecost, Robin D.; Zlatevska, Natalina - 2010
Purpose – Joseph Pine and Jim Gilmore coined the term “experience economy” to describe a paradigm shift in consumption. To survive in this new economy, businesses must provide customers with memorable consumption experiences. The purpose of this paper is to suggest eight ingredients that...
Persistent link: https://www.econbiz.de/10009441802
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Consumers' Reciprocal Behaviors in the Hospitality Industry
Bae, Jung-in; Kwon, Jun Mo; Blum, Shane C. - 2011
Word-Of-Mouth (WOM) has long been considered to be one of the most important marketing tools. The Internet has created …
Persistent link: https://www.econbiz.de/10009467873