Beltran Lopez, Helena; Grammig, Joachim; Menkveld, Albert J. - 2011
In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic … setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be … roles, and freely choose to immediately demand or patiently supply liquidity by submitting either market or limit orders. We …