A Market-Clearing Role for Inefficiency on a Limit Order Book.

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...

书目详细资料
主要作者:	Large, J
格式:	Working paper
语言:	English
出版:	Oxford-Man Institute of Quantitative Finance 2008

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