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Liquidity Provision in a Limit Order Book without Adverse Selection

Bayar, Onur - 2013

In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only … execution probabilities of limit orders as a function of traders' liquidity demand and the state of the limit order book. We … find that the equilibrium percentage of market order submissions is also increasing in the dispersion in liquidity traders …

Persistent link: https://www.econbiz.de/10013088422

Risk Attitude and Market Behavior : Evidence from Experimental Asset Markets

Fellner-Röhling, Gerlinde; Maciejovsky, Boris - 2003

In this paper we relate individual risk attitude as elicited by binary lotteries and certainty equivalents to market behavior. By analyzing 26 independent markets with a total of 280 participants we show that binary lottery choices and certainty equivalents are poorly correlated. Only lottery...

Persistent link: https://www.econbiz.de/10014087733

Liquidity provision in a limit order book without adverse selection

Bayar, Onur - In: Journal of economics & business 66 (2013), pp. 98-124

Persistent link: https://www.econbiz.de/10009727580

Decision rules and their influence on asset prices

Trifan, Emanuela (contributor) - 2004

This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully...