This paper describes price discovery and liquidity provision in a dynamic limit order market with asymmetric information and non-Markovian learning. Investors condition on information in both the current limit order book and also, unlike in previous re-search, on the prior order history when...

The U.S. equity market changed dramatically in recent years. Increasing automation and the entry of new trading platforms has resulted in intense competition among trading platforms. Despite these changes, traders still face the same challenges as before. They seek to minimize the total cost of...