The purpose of this study is to extend the bid-ask spread decomposition literature into the order-driven environment. The use of electronic limit order books combined with order-driven market making has been increasing rapidly in recent years because improvements in information technology and...

The purpose of our study is to investigate the trading behavior of informed and uninformed investors in a screen-based, order-driven environment. As more and more exchanges conduct trading through electronic limit-order books, it is increasingly important to analyze consequent trading behavior...

The purpose of this study is to investigate the inter-temporal trading behavior of informed and uninformed investors. We estimate a variation of the market microstructure model developed in Easley, Keifer, O'Hara, and Paperman (1996) and document the day-of-the-week pattern in informed and...