We develop a tractable model of a limit order market where informed and liquidity investors compete with a professional liquidity provider who has a monitoring advantage. We apply our model to study the impact of exogenous transaction costs and investor patience on trading activity and market...

We model a financial market where privately informed investors trade in a limit order book monitored by professional liquidity providers. Price competition between informed limit order submitters and professional market makers allows us to capture tradeoffs between informed limit and market...

Many equity exchanges charge the two parties of a trade different fees, often subsidizing liquidity providers. We examine this asymmetric, or maker-taker, pricing in a model where some investors pay fees directly to the exchange, while others pay them only on average, through flat commissions....