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Limit Order Book as a Market for Liquidity
16 references·16 citing·37 second hopsampled
Limit Order Book as a Market for Liquidity (2001)Limit Order Book as a Market for LiquidityMarket microstructure: A survey (2000)Market microstructure: A surv…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…Commonality in liquidity (2000)Commonality in liquidityOrder 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…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…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 TradingThe Limits of Arbitrage (1995)The Limits of ArbitrageAn 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 …Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Cost of Transacting (1968)The Cost of TransactingTick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…Optimal posting price of limit orders: learning by trading (2013)Optimal posting price of limi…How Aggressive are High-Frequency Traders? (2013)How Aggressive are High-Frequ…An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity (2013)An Empirical Analysis of Liqu…Optimal Order Placement in Limit Order Markets (2012)Optimal Order Placement in Li…Trading and Liquidity with Limited Cognition (2010)Trading and Liquidity with Li…High Frequency Traders and Asset Prices (2010)High Frequency Traders and As…Liquidity Shocks and Order Book Dynamics (2009)Liquidity Shocks and Order Bo…Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Liquidity in the Foreign Exch…The contribution of market makers to liquidity and efficiency of options trading in electronic markets (2005)The contribution of market ma…Optimal Trading Strategy and Supply/Demand Dynamics (2005)Optimal Trading Strategy and …Zooming in on Liquidity (2004)Zooming in on LiquidityThe Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks (2004)The Role of U.S. Trading in P…The Informational Content of an Open Limit Order Book (2004)The Informational Content of …Canonical valuation of options in the presence of stochastic volatility (2004)Canonical valuation of option…A steady-state model of the continuous double auction (2003)A steady-state model of the c…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)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)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Inferring Trade Direction from Intraday Data (1991)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)A Theory of Auctions and Competitive Bidding (1982)Continuous Auctions and Insider Trading (1985)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Information Effects on the Bid-Ask Spread (1983)Market Liquidity and Trading Activity (2001)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)
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References

  • 1995The Limits of Arbitrage5,282 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1968The Cost of Transacting1,909 cited
  • 2000Commonality in liquidity1,748 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1996Limit Order Trading400 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy

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388 cited

Cited by

  • 2003A steady-state model of the continuous double auction94 cited
  • 2009Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums88 cited
  • 2004The Informational Content of an Open Limit Order Book85 cited
  • 2010High Frequency Traders and Asset Prices84 cited
  • 2004Zooming in on Liquidity43 cited
  • 2022Tick Size Wars: The Market Quality Effects of Pricing Grid Competition42 cited
  • 2013An Empirical Analysis of Liquidity and Its Determinants in the German Intraday Market for Electricity39 cited
  • 2013Optimal posting price of limit orders: learning by trading36 cited
  • 2009Liquidity Shocks and Order Book Dynamics35 cited
  • 2004The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks34 cited
  • 2012Optimal Order Placement in Limit Order Markets34 cited
  • 2005The contribution of market makers to liquidity and efficiency of options trading in electronic markets31 cited
  • 2013How Aggressive are High-Frequency Traders?31 cited
  • 2004Canonical valuation of options in the presence of stochastic volatility29 cited
  • 2010Trading and Liquidity with Limited Cognition29 cited
  • 2005Optimal Trading Strategy and Supply/Demand Dynamics28 cited