Empirical analysis of limit order markets

Review of Economic Studies

Volumn 71, Issue 4, 2004, Pages 1027-1063

  Hollifield, Burton ^a   Miller, Robert A ^a   Sandås, Patrik ^b  

^a CARNEGIE MELLON UNIVERSITY   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MODELING; STOCK MARKET;

EID: 7444225369     PISSN: 00346527     EISSN: None     Source Type: Journal    
DOI: 10.1111/0034-6527.00313     Document Type: Article

References (29)

1. AHN, H. and MANSKI, C. (1993), "Distribution Theory for the Analysis of Binary Choice under Uncertainty with Nonparametric Estimation of Expectations", Journal of Econometrics, 56, 291-321.
2. ALTUG, S. and MILLER, R. A. (1998), "The Effect of Work Experience on Female Wages and Labor Supply", Review of Economic Studies, 65 45-85.
3. AMEMIYA, T. (1985) Advanced Econometrics (Cambridge: Harvard University Press).
4. BIAIS, B., HILLION, P. and SPATT, C. (1995), "An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse", Journal of Finance, 50, 1655-1689.
5. BIAIS, B., MARTIMORT, D. and ROCHET, J. C. (2000), "Competing Mechanisms in a Common Value Environment", Econometrica, 68 799-837.
6. BOSSAERTS, P. (1988), "Common Nonstationary Components of Asset Prices", Journal of Economic Dynamics and Control, 12, 347-364.
7. COHEN, K., MAIER, S., SCHWARTZ, R. and WHITCOMB, D. (1981), "Transactions Costs, Order Placement Strategy and Existence of the Bid-Ask Spread", Journal of Political Economy, 89, 287-305.
8. COLLOMB, G. and HÄRDLE, W. (1986), "Strong Uniform Convergence Rate in Robust Nonparametric Time Series Analysis and Prediction: Kernel Regression Estimation from Dependent Observations", Stochastic Processes and their Applications, 23, 77-89.
9. DE JONG, R. (2001), "Nonlinear Estimation Using Estimated Co-integrating Relations", Journal of Econometrics, 101, 109-122.
10. ELYAKIME, B., LAFFONT, J.-J., LOISEL, P. and VUONG, Q. (1994), "First-Price Sealed-Bid Auctions with Secret Reservation Prices", Annales D'Économie et de Statistique, 34, 115-141.
11. FOUCAULT, T. (1999), "Order Flow Composition and Trading Costs in a Dynamic Limit Order Market", Journal of Financial Markets, 2 99-134.
12. GLOSTEN, L. (1994), "Is the Electronic Open Limit Order Book Inevitable?", Journal of Finance, 49, 1127-1161.
13. GLOSTEN, L. and MILGROM, P. (1985), "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders" , Journal of Financial Economics, 14, 71-100.
14. GRIFFITHS, M., SMITH, B., TURNBULL, D. A. and WHITE, R. (2000), "The Costs and the Determinants of Order Aggressiveness", Journal of Financial Economics, 56, 65-88.
15. GUERRE, E., PERRIGNE, I. and VUONG, Q. (2000), "Optimal Nonparametric Estimation of First-Price Auctions", Econometrica, 68, 525-574.
16. HARRIS, L. (1998), "Optimal Order Submission Strategies in Some Stylized Trading Problems", Financial Markets, Institutions and Instruments, 7 (2).
17. HARRIS, L. and HASBROUCK, J. (1996), "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy", Journal of Financial and Quantitative Analysis, 31, 213-231.
18. HOLLIFIELD, B., MILLER, R. A., SANDÅS, P. and SLIVE, J. (2003), "Liquidity Supply and Demand in Limit Order Markets" (Working Paper, Carnegie Mellon University).
19. HOTZ, V. J. and MILLER, R. A. (1993), "Conditional Choice Probabilities and the Estimation of Dynamic Models", Review of Economic Studies 60, 497-529.
20. LAFFONT, J.-J. and VUONG, Q. (1996), "Structural Analysis of Auction Data", American Economic Review, 86, 414-420.
21. MANSKI, C. (1993), "Dynamic Choice in Social Settings: Learning from the Experience of Others", Journal of Econometrics, 58, 121-136.
22. NEWEY, W. and WEST, K. (1987), "A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix" , Econometrica, 55, 703-708.
23. PARLOUR, C. (1998), "Price Dynamics in Limit Order Markets", Review of Financial Studies, 11, 789-816.
24. RANALDO, A. (2003), "Order Aggressiveness in Limit Order Book Markets", Journal of Financial Markets, 7, 53-74.
25. ROBINSON, P. (1989), "Hypothesis Testing in Semiparametric and Nonparametric Models for Economic Time Series", Review of Economic Studies, 56, 511-534.
26. SANDÅs, P. (2001), "Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market", Review of Financial Studies, 14, 705-734.
27. SEPPI, D. (1997), "Liquidity Provision with Limit Orders and a Strategic Specialist", Review of Financial Studies, 10, 103-150.
28. STOKEY, N., LUCAS, R. and PRESCOTT, E. (1989) Recursive Methods in Economic Dynamics (Cambridge: Harvard University Press).
29. WOLAK, F. (1989), "Local and Global Testing of Linear and Nonlinear Inequality Constraints in Nonlinear Econometric Models", Econometric Theory, 5, 1-35.