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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004
We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...
Persistent link: https://www.econbiz.de/10010361995
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Market fragmentation of securities market : traditional exchanges versus alternate trading venues
Kohli, Rasmeet - In: Macroeconomics and finance in emerging market economies 7 (2014) 2, pp. 303-314
Persistent link: https://www.econbiz.de/10010436252
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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Queue imbalance as a one-tick-ahead price predictor in a limit order book
Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011588243
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Toward a fully continuous exchange
Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675
Persistent link: https://www.econbiz.de/10011952562
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Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias - 2017
Persistent link: https://www.econbiz.de/10012197703
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Commonality in liquidity in the context of different trading systems : evidence from an emerging market
Tayeh, Mohammad - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1344-1353
Persistent link: https://www.econbiz.de/10011774856
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Inferring trade directions in fast markets
Jurkatis, Simon Willi - 2020
Persistent link: https://www.econbiz.de/10012597973
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Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers
Harkrader, James Collin; Puglia, Michael - 2020
Persistent link: https://www.econbiz.de/10012389832