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Undisclosed orders and optimal submission strategies in a limit order market
16 references·7 citing·36 second hop
Undisclosed orders and optimal submission strategies in a limit order market (2013)Undisclosed orders and optimal submission…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Competing Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Optimal control of execution costs (1998)Optimal control of execution …Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread (1981)Transaction Costs, Order Plac…The Cost of Transacting (1968)The Cost of TransactingPrice Improvement and Execution Risk in Lit and Dark Markets (2019)Price Improvement and Executi…The microstructure of a U.S. Treasury ECN: The BrokerTec platform (2017)The microstructure of a U.S. …Hidden Liquidity: Some New Light on Dark Trading (2015)Hidden Liquidity: Some New Li…On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements (2012)On the Dark Side of the Marke…Hidden Liquidity: Some New Light on Dark Trading (2011)Hidden Liquidity: Some New Li…Dark Pool Trading Strategies, Market Quality and Welfare (2010)Dark Pool Trading Strategies,…The Impact of Iceberg Orders in Limit Order Books (2009)The Impact of Iceberg Orders …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Continuous Auctions and Insider Trading (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)High-Frequency Trading and Price Discovery (2014)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)High frequency market microstructure (2015)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 2011Low-Latency Trading880 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 1981Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread372 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market

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327 cited

Cited by

  • 2015Hidden Liquidity: Some New Light on Dark Trading83 cited
  • 2017The microstructure of a U.S. Treasury ECN: The BrokerTec platform81 cited
  • 2010Dark Pool Trading Strategies, Market Quality and Welfare45 cited
  • 2009The Impact of Iceberg Orders in Limit Order Books38 cited
  • 2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements37 cited
  • 2019Price Improvement and Execution Risk in Lit and Dark Markets34 cited
  • 2011Hidden Liquidity: Some New Light on Dark Trading33 cited