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An Integrated Model of Market and Limit Orders
0 references·16 citing·37 second hopsampled
An Integrated Model of Market and Limit Orders (1995)An Integrated Model of Market and Limit O…Liquidity and Information in Limit Order Markets (2019)Liquidity and Information in …Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers (2011)Hidden and Displayed Liquidit…Limit-order submission strategies under asymmetric information (2010)Limit-order submission strate…Hidden liquidity: An analysis of order exposure strategies in electronic stock markets (2009)Hidden liquidity: An analysis…Limit Order Markets: A Survey (2008)Limit Order Markets: A SurveyInformation and Learning in Markets: The Impact of Market Microstructure (2008)Information and Learning in M…Dynamic order submission strategies with competition between a dealer market and a crossing network☆ (2008)Dynamic order submission stra…Order dynamics: Recent evidence from the NYSE (2007)Order dynamics: Recent eviden…Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007)Dynamic Order Submission Stra…Who Benefits from an Open Limit‐Order Book? (2005)Who Benefits from an Open Lim…Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders (2005)Empirical evidence on the evo…Trading strategies during circuit breakers and extreme market movements (2004)Trading strategies during cir…Traders’ choice between limit and market orders: evidence from NYSE stocks (2002)Traders’ choice between limit…The power of patience: a behavioural regularity in limit-order placement (2002)The power of patience: a beha…Limit Orders and Volatility in a Hybrid Market: The Island Ecn (2002)Limit Orders and Volatility i…Econometric models of limit-order executions (2002)Econometric models of limit-o…Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)The Cost of Transacting (1968)Market microstructure theory (1995)Undisclosed orders and optimal submission strategies in a limit order market (2013)Dark pool trading strategies, market quality and welfare (2016)Commonality in liquidity (2000)Econometric Analysis of Cross Section and Panel Data (2001)Informed trading and price discovery before corporate events (2017)Is the Electronic Open Limit Order Book Inevitable? (1994)The Microstructure Approach to Exchange Rates (2001)The Value of the Designated Market Maker (2007)Weather and intraday patterns in stock returns and trading activity (2008)Computerized and High‐Frequency Trading (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2008)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2009)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2010)Liquidity Risk and Expected Stock Returns (2003)Algorithmic Trading and Information (2009)The market impact of a limit order (2011)Modelling high-frequency limit order book dynamics with support vector machines (2015)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Price Dynamics in Limit Order Markets (1998)The application of continuous-time random walks in finance and economics (2005)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)The Use of Knowledge in Society (1996)Complementarities, Multiplicity, and Supply Information (2009)Do I Follow My Friends or the Crowd? Information Cascades in Online Movie Ratings (2015)The internet as an information intermediary (2017)Downward Nominal And Real Wage Rigidity: Survey Evidence From European Firms (2009)Broker-Dealer Risk Appetite and Commodity Returns (2013)Immigration, Offshoring, and American Jobs (2013)Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality (2014)Chasing Private Information (2019)
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  • 2002Econometric models of limit-order executions211 cited
  • 2008Limit Order Markets: A Survey202 cited
  • 2008Information and Learning in Markets: The Impact of Market Microstructure183 cited
  • 2004Trading strategies during circuit breakers and extreme market movements182 cited
  • 2005Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders178 cited
  • 2009Hidden liquidity: An analysis of order exposure strategies in electronic stock markets174 cited
  • 2008Dynamic order submission strategies with competition between a dealer market and a crossing network☆162 cited
  • 2005Who Benefits from an Open Limit‐Order Book?155 cited
  • 2007Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network150 cited
  • 2019Liquidity and Information in Limit Order Markets140 cited
  • 2010Limit-order submission strategies under asymmetric information130 cited
  • 2002Limit Orders and Volatility in a Hybrid Market: The Island Ecn129 cited
  • 2002The power of patience: a behavioural regularity in limit-order placement127 cited
  • 2011Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers

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119 cited
  • 2002Traders’ choice between limit and market orders: evidence from NYSE stocks117 cited
  • 2007Order dynamics: Recent evidence from the NYSE116 cited