We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to a block order equilibrium in a limit order market. Copyright 2007 by The American Finance Association.
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Volume (Year): 62 (2007) Issue (Month): 4 (08) Pages: 1589-1621 Download reference. The following formats are available: HTML
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