We develop a model in which the speed of reaction to trading opportunities is endogenous. Traders face a trade-off between the benefit of being first to seize a profit opportunity and the cost of attention required to be first to seize this opportunity. The model provides an explanation for...

We devel op a dynamic modelof anorder-drivenmarket populated bydiscretionary liquidity traders. These tradersmust trade, yet canchoose the type oforder and are fully strategic in their decision. Traders differ by their impatience: less patient traders are likely to demand liquidity, more patient...

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...