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Limit Order Book as a Market for Liquidity · Study

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PreprintLimit Order Book as a Market for Liquidity

Thierry Foucault2001

OA

Preprintgreen2001

Limit Order Book as a Market for Liquidity

Thierry Foucault · Ohad Kadan · Eugene Kandel

98 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1995The Limits of Arbitrage 1988A Theory of Intraday Patterns: Volume and Price Variability 1968The Cost of Transacting 2000Commonality in liquidity 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1997The Components of the Bid-Ask Spread: A General Approach 2000Market microstructure: A survey 1994Is the Electronic Open Limit Order Book Inevitable?

Cited by

2003A steady-state model of the continuous double auction 2009Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 2004The Informational Content of an Open Limit Order Book 2010High Frequency Traders and Asset Prices 2004Zooming in on Liquidity 2022Tick Size Wars: The Market Quality Effects of Pricing Grid Competition 2013An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Limit Order Markets: A Surveychapter · 18 shared references 2003Liquidity-Based Competition for Order Flowarticle · 13 shared references 2010Order aggressiveness and quantity: How are they determined in a limit order market?article · 13 shared references 2009Does the Open Limit Order Book Matter in Explaining Informational Volatility?article · 13 shared references 2002The components of the bid–ask spread in a limit-order market: evidence from the Tokyo Stock Exchangearticle · 12 shared references 2004Empirical Analysis of Limit Order Marketsarticle · 11 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations98

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.269908

openalex_workW2109577449

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2013Optimal posting price of limit orders: learning by trading