In recognition of the design of Rule 611 of RegNMS that precludes fee washout, we introduce endogenous information acquisition into an asymmetric information model of the limit order book with access fees and continuous pricing. Informed traders optimally adjust the likelihood of an informed...

We study the behavioral drivers of market entry. An experiment allows us to disentangle the impact on entry across different types of markets of two key behavioral mechanisms: overconfidence and attitude toward ambiguity. We theorize and show that the causal effect of overconfidence on entry is...