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Order flow composition and trading costs in a dynamic limit order market

Foucault, Thierry - In: Journal of financial markets 2 (1999) 2, pp. 99-134

Persistent link: https://www.econbiz.de/10001426676

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - In: The review of financial studies 20 (2007) 5, pp. 1707-1747

Persistent link: https://www.econbiz.de/10003621228

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005 - This Draft: May, 2005

As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...

Persistent link: https://www.econbiz.de/10009524806

Price improvement in financial markets as a screening device

Desgranges, Gabriel (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001661219

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2003

Persistent link: https://www.econbiz.de/10001797423

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2003

Persistent link: https://www.econbiz.de/10001829670

Microstructure des marchés financiers : institutions, modèles et tests empiriques

Biais, Bruno; Foucault, Thierry; Hillion, Pierre Henri - 1997

Persistent link: https://www.econbiz.de/10001365535

Price improvements in financial markets as a screening device

Desgranges, Gabriel; Foucault, Thierry - 2000

Persistent link: https://www.econbiz.de/10001562119

12th annual Central Bank workshop on the microstructure of financial markets : 29-30 september 2016, Banque de France (non-technical summary)

Arrata, William; Gautier, Alexandre; Lopez, Pierlauro; … - In: Banque de France bulletin / Quarterly selection of articles 45 (2017), pp. 23-30

Persistent link: https://www.econbiz.de/10011717729

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