We investigate the information content of the limit order book (LOB) on the Tokyo Stock Exchange, the world's second largest order-driven market. We find that high frequency microstructure parameters, such as the current cost-to-trade 1% of average daily volume and LOB slope, contain information...

We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs that trade sequentially in random order under time constraints and are not aware of the type of the other...

We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or limit orders, which are represented respectively by impulse...