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Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread

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Author Info
Cohen, Kalman J, et al
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Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 89 (1981)
Issue (Month): 2 (April)
Pages: 287-305
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ucp:jpolec:v:89:y:1981:i:2:p:287-305

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  1. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
    Other versions:
  2. Sanford J. Grossman & Merton H. Miller, 1989. "Liquidity and Market Structure," NBER Working Papers 2641, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  4. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada. [Downloadable!]
  5. Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997. "Econometric Models of Limit-Order Executions," NBER Working Papers 6257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Hollifield, Burton & Miller, Robert A. & Sandås, Patrik & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  7. Luana Gava, 2005. "The Speed Of Limit Order Execution In The Spanish Stock Exchange," Business Economics Working Papers wb057718, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  8. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society. [Downloadable!]
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