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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

Price formation and order placement strategies in a dynamic order driven market

Foucault, Thierry - 1994

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Order flow composition and trading costs in dynamic limit order markets

Foucault, Thierry - 1998

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Minimum price variations, time priority and quote dynamics

Cordella, Tito; Foucault, Thierry - 1997

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Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni (contributor); Foucault, Thierry (contributor) - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...