In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only … execution probabilities of limit orders as a function of traders' liquidity demand and the state of the limit order book. We … find that the equilibrium percentage of market order submissions is also increasing in the dispersion in liquidity traders …

We develop a tractable model of a limit order market where informed and liquidity investors compete with a professional … liquidity provider who has a monitoring advantage. We apply our model to study the impact of exogenous transaction costs and … market orders to limit orders, price efficiency, and welfare are invariant in the liquidity cross-section. Faced with …

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book … capitalized stocks, and find empirical support for one of the main hypothesis put forth by the theory of limit order book markets …, which states that liquidity supply and adverse selection costs are inversely related. We also show that adverse selection …