Working orders in limit order markets and floor exchanges

Journal of Finance

Volumn 62, Issue 4, 2007, Pages 1589-1621

  Back, Kerry ^a   Baruch, Shmuel ^b,c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b UNIVERSITY OF UTAH   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547855555     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2007.01252.x     Document Type: Article

References (41)

1. Back, Kerry, and Shmuel Baruch, 2004, Information in securities markets: Kyle meets Glosten and Milgrom, Econometrica 72, 433 465.
2. Back, Kerry, C. Henry Cao, and Gregory A. Willard, 2000, Imperfect competition among informed traders, Journal of Finance 55, 2117 2155.
3. Benveniste, Lawrence M., Alan J. Marcus, and William J. Wilhelm, 1992, What's special about the specialist? Journal of Financial Economics 32, 61 86.
4. Bernhardt, Dan, Vladimir Dvoracek, Eric Hughson, and Ingrid M. Werner, 2005, Why do larger orders receive discounts on the London Stock Exchange?, Review of Financial Studies 18, 1343 1368.
5. Bernhardt, Dan, and Eric Hughson, 1997, Splitting orders, Review of Financial Studies 10, 69 101.
6. Bessembinder, Hendrik, 2003, Trade execution costs and market quality after decimalization, Journal of Financial and Quantitative Analysis 38, 747 777.
7. Biais, Bruno, Christophe Bisière, and Chester Spatt, 2003, Imperfect competition in financial markets: ISLAND vs. NASDAQ, Working paper, Toulouse and Carnegie Mellon.
8. Biais, Bruno, David Martimort, and Jean-Charles Rochet, 2000, Competing mechanisms in a common value environment, Econometrica 68, 799 837.
9. Brunnermeier, Markus K., and Lasse Heje Pedersen, 2005, Predatory trading, Journal of Finance 60, 1825 1863.
10. Chakravarty, Sugato, and Craig W. Holden, 1995, An integrated model of market and limit orders, Journal of Financial Intermediation 4, 213 241.
11. Chakravarty, Sugato, Robert A. Wood, and Robert A. Van Ness, 2004, Decimals and liquidity: A study of the NYSE, Journal of Financial Research 27, 75 94.
12. Chordia, Tarun, and Avanidhar Subrahmanyam, 2004, Order imbalance and individual stock returns: Theory and evidence, Journal of Financial Economics 72, 485 518.
13. Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Finance 18, 277 311.
14. Easley, David, and Maureen O'Hara, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics 19, 69 90.
15. Easley, David, and Maureen O'Hara, 1992, Time and the process of security price adjustment, Journal of Finance 47, 577 606.
16. Foucault, Thierry, 1999, Order flow composition and trading costs in a dynamic limit order market, Journal of Financial Markets 2, 99 134.
17. Foucault, Thierry, Ohad Kadan, and Eugene Kandel, 2005, Limit order book as a market for liquidity, Review of Financial Studies 18, 1171 1217.
18. Glosten, Lawrence R., 1994, Is the electronic limit order book inevitable? Journal of Finance 49, 1127 1161.
19. Glosten, Lawrence R., 2003, Discriminatory limit order books, uniform price clearing and optimality, Working paper, Columbia.
20. Glosten, Lawrence R., and Paul R. Milgrom, 1985, Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics 13, 71 100.
21. Goettler, Ronald L., Christine A. Parlour, and Uday Rajan, 2004, Information acquisition in a limit order market, Working paper, Carnegie Mellon and University of Michigan.
22. Goettler, Ronald L., Christine A. Parlour, and Uday Rajan, 2005, Equilibrium in a dynamic limit order market, Journal of Finance 60, 2149 2192.
23. Goldstein, Michael A., and Kenneth A. Kavajecz, 2000, Eighths, sixteenths, and market depth: Changes in tick size and liquidity provision on the NYSE, Journal of Financial Economics 56, 125 149.
24. Handa, Puneet, and Robert A. Schwartz, 1996, Limit order trading, Journal of Finance 51, 1835 1861.
25. Harris, Lawrence, 1998, Optimal dynamic order submission strategies in some stylized trading problems, Financial Markets, Institutions & Instruments 7, 1 76.
26. Hasbrouck, Joel, and Gideon Saar, 2002, Limit orders and volatility in a hybrid market: The Island ECN, Working paper, New York University.
27. Hasbrouck, Joel, George Sofianos, and Deborah Sosebee, 1993, New York Stock Exchange systems and trading procedures, NYSE Working paper.
28. Hendershott, Terrence, and Haim Mendelson, 2000, Crossing networks and dealer markets: Competition and performance, Journal of Finance 55, 2071 2115.
29. Holden, Craig W., and Avanidhar Subrahmanyam, 1992, Long-lived private information and imperfect competition, Journal of Finance 47, 247 270.
30. Kumar, Praveen, and Duane J. Seppi, 1993, Limit orders and market orders with optimizing traders, Working paper, Carnegie Mellon.
31. Kyle, Albert S., 1985, Continuous markets and insider trading, Econometrica 53, 1315 1335.
32. Parlour, Christine A., 1998, Price dynamics in limit order markets, Review of Financial Studies 11, 789 816.
33. Parlour, Christine A., and Duane J. Seppi, 2003, Liquidity-based competition for order flow, Review of Financial Studies 16, 301 343.
34. Ready, Mark J., 1999, The specialist's discretion: Stopped orders and price improvement, Review of Financial Studies 12, 1075 1112.
35. Reiss, Peter C., and Ingrid M. Werner, 1996, Transaction costs in dealer markets: Evidence from the London Stock Exchange, in Lo, A., ed. : The Industrial Organization and Regulation of the Securities Industry (University of Chicago Press, Chicago). 125 175.
36. Rock, Kevin, 1990, The specialist's order book and price anomalies, Working paper, Harvard.
37. Rosu, Ioanid, 2005, A dynamic model of the limit order book, Working paper, University of Chicago.
38. Sandås, Patrik, 2001, Adverse selection and competitive market making: Empirical evidence from a limit order market, Review of Financial Studies 14, 705 734.
39. Seppi, Duane J., 1990, Equilibrium block trading and asymmetric information, Journal of Finance 45, 73 94.
40. Seppi, Duane J., 1997, Liquidity provision with limit orders and a strategic specialist, Review of Financial Studies 10, 103 150.
41. Viswanathan, S., and James J. D. Wang, 2002, Market architecture: Limit order books versus dealership markets, Journal of Financial Markets 5, 127 167.