Learning and Information Dissemination in Limit Order Markets
نویسندگان
چکیده
منابع مشابه
Feedback and efficiency in limit order markets
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact f...
متن کاملShading and Efficiency in Limit-Order Markets
Strategic shading of bids is typically viewed as a factor degrading the efficiency of auction outcomes. In continuous double auctions (CDAs), however, strategic bid-shading can actually improve allocative efficiency, as it counteracts the inherent inefficiency of CDAs induced by vagaries in order arrival sequence. This has been demonstrated most clearly in a standard CDA model by Zhan and Fried...
متن کاملLimit Order Markets: A Survey
A.V. Thakor. We thank the authors of the research reviewed here for their insights into the microstructure of limit order markets and apologize for any errors or misrepresentations in our discussion of their work. We thank Arnoud Boot for asking us to undertake this survey and for his patience while we completed it.
متن کاملQuote Competition in Limit Order Markets
For a dynamic limit order market, we present a Markov perfect equilibrium with Edgeworth cycles. In equilibrium, when sellers enter the market consecutively, the best quote decreases tick by tick, then jumps more than one tick, creating a hole in the book. The next quote rebounds to the less aggressive level, and the same cycle starts over again. Holes can relate to the high kurtosis of transac...
متن کاملDynamical trading mechanisms in limit order markets
This work’s main purpose is to understand the price dynamics in a generic limit order market, and illustrate a dynamical trading mechanism that can be applied to explore its market microstructure. First and foremost, we capture the iterative nature of the limit order market, and quantitatively identify its capacities as a means to develop switching schemes for the appearances of different sorts...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2276350