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Slow and fast markets

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  • Polimenis, Vassilis

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Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 57 (2005)
Issue (Month): 6 ()
Pages: 576-593

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Handle: RePEc:eee:jebusi:v:57:y:2005:i:6:p:576-593

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Web page: http://www.elsevier.com/locate/jeconbus

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  1. T. Santos & J. Scheinkman, 2000. "Competition Among Exchanges," Princeton Economic Theory Papers, Economics Department, Princeton University 00s12, Economics Department, Princeton University.
  2. Viswanathan, S. & Wang, James J. D., 2002. "Market architecture: limit-order books versus dealership markets," Journal of Financial Markets, Elsevier, vol. 5(2), pages 127-167, April.
  3. Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
  4. Kerry Back & Shmuel Baruch, 2004. "Information in Securities Markets: Kyle Meets Glosten and Milgrom," Econometrica, Econometric Society, Econometric Society, vol. 72(2), pages 433-465, 03.
  5. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-50.
  6. Christine A. Parlour & Duane J. Seppi, 2003. "Liquidity-Based Competition for Order Flow," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 301-343.
  7. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  8. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
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