Cancellation and uncertainty aversion on limit order books

This paper models limit order books where each trader is uncertain of the underlying distribution in the asset's value to others. If this uncertainty is rapidly resolved, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established com...

Cijeli opis

Bibliografski detalji
Glavni autor: Large, J
Format: Working paper
Izdano: University of Oxford 2004