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is based on a model of limit order trading in which traders have information on future price volatility. As limit orders …
Persistent link: https://www.econbiz.de/10005854126
is based on a model of limit order trading in which traders have information on future price volatility. As limit orders …
Persistent link: https://www.econbiz.de/10010308662
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010303742
Lecture on the first SFB/TR 15 meeting, Gummersbach, July, 18 - 20, 2004: We develop a model of limit order trading in …
Persistent link: https://www.econbiz.de/10010333878
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010280788
trading costs when competition for the order flow is dynamic. It finds that convergence to competitive prices can take time … dynamic. The paper compares the trading outcomes with and without time priority. It shows that, for reasonable … parameterizations, time priority reduces trading costs because it prevents equilibria in which uncompetitive spreads can be sustained …
Persistent link: https://www.econbiz.de/10005504621
High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the risk of being picked off by arbitrageurs....
Persistent link: https://www.econbiz.de/10011083979
is based on a model of limit order trading in which traders have information on future price volatility. As limit orders …
Persistent link: https://www.econbiz.de/10010957222
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...
Persistent link: https://www.econbiz.de/10010958522
High frequency arbitrage opportunities arise when the price of one asset follows, with a lag, changes in the value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the risk of being picked off by arbitrageurs. Hence,...
Persistent link: https://www.econbiz.de/10011147709