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Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market
12 references·16 citing·40 second hopsampled
Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market (2001)Adverse Selection and Competitive Market …Liquidity-Based Competition for Order Flow (2003)Liquidity-Based Competition f…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…A Specialist's Quoted Depth and the Limit Order Book (1999)A Specialist's Quoted Depth a…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Limit Order Trading (1996)Limit Order TradingAn Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Estimating the components of the bid/ask spread (1988)Estimating the components of …Liquidity and Information in Limit Order Markets (2019)Liquidity and Information in …Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program (2018)Tick Size, Liquidity for Smal…Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Liquidity Cycles and Make/Tak…Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Hidden and Displayed Liquidit…The virtues and vices of equilibrium and the future of financial economics (2008)The virtues and vices of equi…Limit Order Markets: A Survey (2008)Limit Order Markets: A SurveyHow Markets Slowly Digest Changes in Supply and Demand (2008)How Markets Slowly Digest Cha…Relation between bid–ask spread, impact and volatility in order-driven markets (2007)Relation between bid–ask spre…Does Anonymity Matter in Electronic Limit Order Markets? (2007)Does Anonymity Matter in Elec…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market (2006)Order book characteristics an…Estimating the Gains from Trade in Limit‐Order Markets (2006)Estimating the Gains from Tra…Order book approach to price impact (2005)Order book approach to price …Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Technical Analysis and Liquidity Provision (2004)Technical Analysis and Liquid…Limit Orders and Volatility in a Hybrid Market: The Island Ecn (2002)Limit Orders and Volatility i…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Differences of Opinion Make a Horse Race (1993)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)Expected stock returns and volatility (1987)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)A Theory of Auctions and Competitive Bidding (1982)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Price, trade size, and information in securities markets (1987)The costs and determinants of order aggressiveness (2000)Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit order books (2013)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Optimal Auction Design (1981)The Economics of Multidimensional Screening (2010)Strategic Supply Function Competition With Private Information (2011)Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning (2012)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Information Effects on the Bid-Ask Spread (1983)Liquidity and Market Structure (1988)Order aggressiveness in limit order book markets (2002)Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)So What Orders Do Informed Traders Use?* (2006)
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References

  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1996Limit Order Trading400 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book253 cited
  • 2003Liquidity-Based Competition for Order Flow230 cited

Cited by

  • 2007An empirical behavioral model of liquidity and volatility261 cited
  • 2007Does Anonymity Matter in Electronic Limit Order Markets?223 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics222 cited

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2008
Limit Order Markets: A Survey
202 cited
  • 2012Liquidity Cycles and Make/Take Fees in Electronic Markets200 cited
  • 2005Order book approach to price impact169 cited
  • 2008How Markets Slowly Digest Changes in Supply and Demand161 cited
  • 2007Relation between bid–ask spread, impact and volatility in order-driven markets159 cited
  • 2008The virtues and vices of equilibrium and the future of financial economics157 cited
  • 2006Estimating the Gains from Trade in Limit‐Order Markets153 cited
  • 2018Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program145 cited
  • 2004Technical Analysis and Liquidity Provision140 cited
  • 2019Liquidity and Information in Limit Order Markets140 cited
  • 2006Order book characteristics and the volume–volatility relation: Empirical evidence from a limit order market139 cited
  • 2002Limit Orders and Volatility in a Hybrid Market: The Island Ecn129 cited
  • 2011Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers119 cited