Price dynamics in limit order markets

被引：230
|
作者：
Parlour, CA [1 ]
机构：
[1] Carnegie Mellon Univ, Grad Sch Ind Adm, Pittsburgh, PA 15213 USA
来源：
REVIEW OF FINANCIAL STUDIES | 1998年 / 11卷 / 04期
关键词：
D O I：
10.1093/rfs/11.4.789
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the state of the limit order book. Each trader knows that her order will affect the order placement strategies of those who follow and the execution probability of her limit order is endogenous, All traders take this into account which, in equilibrium, generates systematic patterns in transaction prices and order placement strategies even with no asymmetric information.
引用
收藏
页码：789 / 816
页数：28
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