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Does the Limit Order Routing Decision Matter?
16 references·4 citing·40 second hopsampled
Does the Limit Order Routing Decision Matter? (2002)Does the Limit Order Routing Decision Mat…Econometric models of limit-order executions (2002)Econometric models of limit-o…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…Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)Optimal Dynamic Order Submiss…The Law and Economics of Best Execution (1997)The Law and Economics of Best…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks (1997)A cross-exchange comparison o…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Limit Order Trading (1996)Limit Order TradingCream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow (1996)Cream-Skimming or Profit-Shar…An Integrated Model of Market and Limit Orders (1995)An Integrated Model of Market…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Posted versus effective spreads (1994)Posted versus effective sprea…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …The Trades of Market Makers: An Empirical Analysis of NYSE Specialists (1993)The Trades of Market Makers: …Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets (2011)To Pay or Be Paid? The Impact…The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading (2011)The Effect of Maker-Taker Pri…Trade-throughs in European cross-traded equities after transaction costs – empirical evidence for the EURO STOXX 50 (2010)Trade-throughs in European cr…Quantifying market order execution quality at the New York stock exchange (2003)Quantifying market order exec…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)So What Orders Do Informed Traders Use?* (2006)Time Variation in Liquidity: The Role of Market‐Maker Inventories and Revenues (2010)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)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)Information, trade and common knowledge (1982)Inferring Trade Direction from Intraday Data (1991)Competition among Trading Venues: Information and Trading on Electronic Communications Networks (2003)Latency, Liquidity and Price Discovery (2011)Retail trader sophistication and stock market quality: Evidence from brokerage outages (2022)Information Effects on the Bid-Ask Spread (1983)Optimal control of execution costs (1998)Informed trade in spot foreign exchange markets: an empirical investigation (2003)Technology and liquidity provision: The blurring of traditional definitions (2008)The information content of an open limit‐order book (2008)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)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 Dynamic Model of the Limit Order Book (2009)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)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)Inferring investor behavior: Evidence from TORQ data (2000)Price Discovery and Trading After Hours (2003)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)
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References

  • 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
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1996Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow537 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
  • 1993The Trades of Market Makers: An Empirical Analysis of NYSE Specialists374 cited
  • 1998Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems281 cited
  • 1997A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks279 cited
  • 1994Posted versus effective spreads260 cited
  • 1999A Specialist's Quoted Depth and the Limit Order Book253 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • 1995An Integrated Model of Market and Limit Orders212 cited
  • 2002Econometric models of limit-order executions211 cited

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  • 1997The Law and Economics of Best Execution145 cited
  • Cited by

    • 2003Quantifying market order execution quality at the New York stock exchange31 cited
    • 2011The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading29 cited
    • 2011To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets28 cited
    • 2010Trade-throughs in European cross-traded equities after transaction costs – empirical evidence for the EURO STOXX 5025 cited