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Tail expectation and imperfect competition in limit order book markets
16 references·2 citing·38 second hop
Tail expectation and imperfect competition in limit order book markets (2019)Tail expectation and imperfect competitio…Strategic Supply Function Competition With Private Information (2011)Strategic Supply Function Com…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …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…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…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Convergence to Efficiency in a Simple Market with Incomplete Information (1994)Convergence to Efficiency in …Theory of Industrial Organization. (1989)Theory of Industrial Organiza…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…The Theory of Industrial Organization (1988)The Theory of Industrial Orga…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Rational Expectations, Information Acquisition, and Competitive Bidding (1981)Rational Expectations, Inform…A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market? (2023)A Theory of Stock Exchange Co…Informed liquidity provision in a limit order market (2020)Informed liquidity provision …Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Information aggregation in a noisy rational expectations economy (1981)Tests of microstructural hypotheses in the foreign exchange market (1995)Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Information Asymmetry, Information Precision, and the Cost of Capital (2011)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)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)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Negation in syntax: on the nature of functional categories and projections (1991)Autolexical syntax : A theory of parallel grammatical representations. By Jerrold M. Sadock Chicago: University of Chicago Press, 1991. Pp. 254. (1997)The Incumbent's Curse? Incumbency, Size, and Radical Product Innovation (2000)Organizational Knowledge Creation Theory: Evolutionary Paths and Future Advances (2006)Verb Movement, Universal Grammar, and the Structure of IP, 1989 (2013)The Cost of Transacting (1968)A Theory of Intraday Patterns: Volume and Price Variability (1988)High frequency market microstructure (2015)A Model of Growth Through Creative Destruction (1992)General purpose technologies ‘Engines of growth’? (1995)International Norm Dynamics and Political Change (1998)
this work references cited by second hop

References

  • 1988The Theory of Industrial Organization8,578 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1989Theory of Industrial Organization.5,142 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 1981Rational Expectations, Information Acquisition, and Competitive Bidding500 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 1994Convergence to Efficiency in a Simple Market with Incomplete Information293 cited

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2011
Strategic Supply Function Competition With Private Information
286 cited

Cited by

  • 2023A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?31 cited
  • 2020Informed liquidity provision in a limit order market21 cited