A Market-Clearing Role for Inefficiency on a Limit Order Book.
Limit order markets with stationary dynamics attract equal volumes of market orders and uncanceled limit orders, equalizing the supply and demand for liquidity and immediacy. To maintain this balance, market orders must share any benefit obtained by limit order traders from more efficient trading co...
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2008
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