Quote setting and price formation in an order driven market

Journal of Financial Markets

Volumn 6, Issue 4, 2003, Pages 461-489

  Handa, Puneet ^a   Schwartz, Robert ^b   Tiwari, Ashish ^a  

^a UNIVERSITY OF IOWA   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041340761     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(02)00041-1     Document Type: Article

References (22)

1. Angel, J., 1995. Limit versus market orders. Working paper, Goergetown University.
2. Biais B. Hillion P. Spatt C. An empirical analysis of the limit order book and the order flow in the Paris Bourse Journal of Finance 50 1995 1655-1689
3. Chakravarty S. Holden C. An integrated model of market and limit orders Journal of Financial Intermediation 4 1995 213-241
4. Cohen K. Maier S. Schwartz R. Whitcomb D. Transaction costs, order placement strategy, and existence of the bid-ask spread The Journal of Political Economy 89 2 1981 287-305
5. Copeland T. Galai D. Information effects on the bid-ask spreads Journal of Finance 38 1983 1457-1469
6. Daniel K. Hirshleifer D. Subrahmanyam A. Investor psychology and security market under-land overreactions Journal of Finance 53 1998 1839-1885
7. Easley D. O'Hara M. Price, trade size, and information in securities markets Journal of Financial Economics 19 1987 69-90
8. Foucault T. Order flow composition and trading costs in a dynamic order driven market Journal of Financial Markets 2 1999 99-134
9. Glosten L. Is the electronic open limit order book inevitable? Journal of Finance 49 1994 1127-1161
10. Glosten L. Milgrom P. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders Journal of Financial Economics 14 1985 71-100
11. Handa P. Schwartz R. Limit order trading Journal of Finance 51 1996 1835-1861
12. Hansen L.P. Large sample properties of generalized method of moments estimators Econometrica 50 1982 1029-1054
13. Harris L. A transaction data study of weekly and intradaily patterns in stock returns Journal of Financial Economics 16 1986 99-118
14. Harris, L., 1994. Optimal dynamic order submission trading strategies in some stylized trading problems. Working paper, University of Southern California.
15. Harris M. Raviv A. Differences of opinion make a horse race Review of Financial Studies 6 1993 473-506
16. Jain P. Joh G.-H. The dependence between hourly prices and trading volume Journal of Financial and Quantitative Analysis 23 1988 269-284
17. Kavajecz K.A. A specialist's quoted depth and the limit order book Journal of Finance 54 1999 747-771
18. McIninsh T.H. Wood R.A. An analysis of intraday patterns in bid/ask spreads for NYSE stocks Journal of Finance 47 1992 753-764
19. Odean T. Volume, volatility, price, and profit when all traders are above average Journal of Finance 53 1998 1887-1934
20. Parlour C.A. Price dynamics in limit order markets Review of Financial Studies 11 1998 789-816
21. Rock, K., 1996. The specialist's order book and price anomalies. Working paper.
22. Seppi D. Liquidity privision with limit orders and a strategic specialist Review of Financial Studies 10 1997 103-150