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

Citations

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Cited by:

  1. Anthony D. Hall & Nikolaus Hautsch, 2008. "Order aggressiveness and order book dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165, Springer.
  2. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 636-661, December.
  3. Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series 2004fe04, Oxford Financial Research Centre.
  4. Silva, Ana Cristina & Chavez, Gonzalo, 2002. "Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 253-278, July.
  5. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  6. Paul Brockman & Dennis Y. Chung, 1999. "Bid-Ask Spread Components In An Order-Driven Environment," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(2), pages 227-246, June.
  7. Asani Sarkar & Robert A. Schwartz, 2009. "Market Sidedness: Insights into Motives for Trade Initiation," Journal of Finance, American Finance Association, vol. 64(1), pages 375-423, February.
  8. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
  9. Dean Katselas & Baljit K. Sidhu & Chuan Yu, 2021. "Liquidity and information asymmetry around unscheduled mining announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3053-3087, June.
  10. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Damien Challet & Robin Stinchcombe, 2003. "Non-constant rates and over-diffusive prices in a simple model of limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 155-162.
  12. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
  13. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
  14. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1069-1097.
  15. Petrescu, Monica & Wedow, Michael, 2017. "Dark pools in European equity markets: emergence, competition and implications," Occasional Paper Series 193, European Central Bank.
  16. Wolfgang Gerke & Horst Bienert & Christine Syha, 2001. "Auswirkungen des Orderbuchprivilegs an einer experimentellen Aktienbörse," Schmalenbach Journal of Business Research, Springer, vol. 53(3), pages 188-215, May.
  17. Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
  18. Large, Jeremy, 2009. "A market-clearing role for inefficiency on a limit order book," Journal of Financial Economics, Elsevier, vol. 91(1), pages 102-117, January.
  19. Kalaitzoglou, Iordanis Angelos & Ibrahim, Boulis Maher, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 89-102.
  20. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
  21. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  22. Qing-Qing Yang & Jia-Wen Gu & Wai-Ki Ching & Tak-Kuen Siu, 2019. "On Optimal Pricing Model for Multiple Dealers in a Competitive Market," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 397-431, January.
  23. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  24. Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 268-279.
  25. Chatrath, Arjun & Adrangi, Bahram & Allender, Mary, 2001. "The impact of margins in futures markets: evidence from the gold and silver markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(2), pages 279-294.
  26. Yu Chuan Huang, 2004. "The components of bid‐ask spread and their determinants: TAIFEX versus SGX‐DT," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(9), pages 835-860, September.
  27. James L. Hamilton, 1991. "The Dealer And Market Concepts Of Bid-Ask Spread: A Comparison For Nasdaq Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 129-139, June.
  28. M. Hasan Eken, 2005. "A Risk and Profitability Approach to Bank Performance Measurement: The Case of Turkish Commercial Banks," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 15-38.
  29. David Evangelista & Yuri Saporito & Yuri Thamsten, 2022. "Price formation in financial markets: a game-theoretic perspective," Papers 2202.11416, arXiv.org.
  30. Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2007. "The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1635-1650, November.
  31. Güray Kucukkocaoglu, 2005. "Single-Price Auction System for the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 65-79.
  32. Le, Anh Tu & Le, Thai-Ha & Liu, Wai-Man & Fong, Kingsley Y., 2020. "Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment," International Review of Financial Analysis, Elsevier, vol. 72(C).
  33. Hans Degryse & Frank Jong & Maarten Ravenswaaij & Gunther Wuyts, 2005. "Aggressive Orders and the Resiliency of a Limit Order Market," Review of Finance, Springer, vol. 9(2), pages 201-242, June.
  34. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August.
  35. Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
  36. Foucault, Thierry, 1999. "Order flow composition and trading costs in a dynamic limit order market1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 99-134, May.
  37. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
  38. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  39. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14, July-Dece.
  40. Garvey, Ryan & Huang, Tao & Wu, Fei, 2016. "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 12-28.
  41. Bruno Biais, 1990. "Formation des prix sur les marchés de contrepartie. Une synthèse de la littérature récente," Revue Économique, Programme National Persée, vol. 41(5), pages 755-788.
  42. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.
  43. Anh Tu Le & Thai-Ha Le & Wai-Man Liu & Kingsley Y. Fong, 2021. "Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model," Annals of Operations Research, Springer, vol. 297(1), pages 241-275, February.
  44. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Post-Print hal-00515873, HAL.
  45. Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel, 1999. "How does liquidity behave? A multidimensional analysis of NYSE stocks," DEE - Working Papers. Business Economics. WB 6433, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  46. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
  47. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
  48. Pinar Evrim-Mandaci & Hakan Kahyaoglu & Efe Caglar Cagli, 2011. "Stock and bond market interactions with two regime shifts: evidence from Turkey," Applied Financial Economics, Taylor & Francis Journals, vol. 21(18), pages 1355-1368.
  49. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
  50. Chakravarty, Sugato & Harris, Fredreck H. deB. & Wood, Roger A., 2001. "Do Bid-Ask Spreads or Bid and Ask Depths Convey New Information First?," Purdue University Economics Working Papers 1149, Purdue University, Department of Economics.
  51. Kee H. Chung & Xin Zhao, 2004. "Making a Market with Spreads and Depths," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1069-1097, September.
  52. Jin Fang & Jiacheng Weng & Yi Xiang & Xinwen Zhang, 2022. "Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO," Papers 2206.10736, arXiv.org.
  53. Duong, Huu Nhan & Kalev, Petko S. & Krishnamurti, Chandrasekhar, 2009. "Order aggressiveness of institutional and individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 533-546, November.
  54. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140, June.
  55. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
  56. Iordanis Angelos Kalaitzoglou & Boulis Maher Ibrahim, 2015. "Liquidity and resolution of uncertainty in the European carbon futures market," Post-Print hal-01107956, HAL.
  57. Bayar, Onur, 2013. "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, vol. 66(C), pages 98-124.
  58. Kam, Tai-Kong & Panchapagesan, Venkatesh & Weaver, Daniel G., 2003. "Competition among markets: The repeal of Rule 390," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1711-1736, September.
  59. Kyubin Yim & Gabjin Oh & Seunghwan Kim, 2016. "Understanding Financial Market States Using an Artificial Double Auction Market," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-15, March.
  60. Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
  61. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
  62. Maureen O'Hara, 2001. "Overview: market structure issues in market liquidity," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 1-8, Bank for International Settlements.
  63. Abdullah Yavaş, 1996. "Search and Trading in Intermediated Markets," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 5(2), pages 195-216, June.
  64. Handa, Puneet & Schwartz, Robert & Tiwari, Ashish, 2003. "Quote setting and price formation in an order driven market," Journal of Financial Markets, Elsevier, vol. 6(4), pages 461-489, August.
  65. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.
  66. Guler Aras & Alovsat Muslumov, 2005. "Institutional Investors and Stock Market Development: A Causality Study," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 1-14.
  67. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  68. David Abad & Antonio Rubia, 2004. "Estimating The Probability Of Informed Trading: Further Evidence From An Order-Driven Market," Working Papers. Serie AD 2004-38, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  69. repec:dau:papers:123456789/7390 is not listed on IDEAS
  70. Patricia Chelley‐Steeley, 2005. "Noise and the Trading Mechanism: the Case of SETS," European Financial Management, European Financial Management Association, vol. 11(3), pages 387-424, June.
  71. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "The Role of Tick Size in Upstairs Trading and Downstairs Trading," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 393-417, October.
  72. Adjemian, Michael & Brorsen, B. Wade & Hahn, William & Saitone, Tina L. & Sexton, Richard J., 2016. "Thinning Markets in U.S. Agriculture," Economic Information Bulletin 232928, United States Department of Agriculture, Economic Research Service.
  73. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
  74. J. Doyne Farmer & Laszlo Gillemot & Fabrizio Lillo & Szabolcs Mike & Anindya Sen, 2004. "What really causes large price changes?," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 383-397.
  75. Buti, Sabrina & Rindi, Barbara, 2013. "Undisclosed orders and optimal submission strategies in a limit order market," Journal of Financial Economics, Elsevier, vol. 109(3), pages 797-812.
  76. Cooney, John Jr. & Sias, Richard W., 2004. "Informed trading and order type," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1711-1743, July.
  77. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2010.
  78. Field, Jonathan & Large, Jeremy, 2008. "Pro-rata matching and one-tick futures markets," CFS Working Paper Series 2008/40, Center for Financial Studies (CFS).
  79. Bloomfield, Robert & O'Hara, Maureen & Saar, Gideon, 2005. "The "make or take" decision in an electronic market: Evidence on the evolution of liquidity," Journal of Financial Economics, Elsevier, vol. 75(1), pages 165-199, January.
  80. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  81. Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  82. Cem Mehmet Baydur & Bora Suslu & Selahattin Bekmez, 2005. "Monetary Policy Analysis for Turkey in a Game Theoretical Perspective," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 39-64.
  83. Blennerhassett, Michael & Bowman, Robert G., 1998. "A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 261-276, December.
  84. Kovaleva, P. & Iori, G., 2012. "Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity," Working Papers 12/05, Department of Economics, City University London.
  85. Jeremy Large, 2006. "A Market-Clearing Role for Inefficiency on a Limit Order Book," Economics Series Working Papers 2006-W08, University of Oxford, Department of Economics.
  86. Naes, Randi & Odegaard, Bernt Arne, 2006. "Equity trading by institutional investors: To cross or not to cross?," Journal of Financial Markets, Elsevier, vol. 9(2), pages 79-99, May.
  87. Bae, Kee-Hong & Jang, Hasung & Park, Kyung Suh, 2003. "Traders' choice between limit and market orders: evidence from NYSE stocks," Journal of Financial Markets, Elsevier, vol. 6(4), pages 517-538, August.
  88. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  89. Jie-Haun Lee & Whei-May Fan, 2014. "Investors’ perception of corporate governance: a spillover effect of Taiwan corporate scandals," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 97-119, July.
  90. Bogdan Negrea, 2011. "How to Compute the Liquidity Cost in the Orders-Driven Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 007-019, June.
  91. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
  92. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
  93. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2003. "A comprehensive test of order choice theory: recent evidence from the NYSE," LSE Research Online Documents on Economics 24896, London School of Economics and Political Science, LSE Library.
  94. Mao, Wen & Pagano, Michael S., 2011. "Specialists as risk managers: The competition between intermediated and non-intermediated markets," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 51-66, January.
  95. Lo, Ingrid & Sapp, Stephen G., 2010. "Order aggressiveness and quantity: How are they determined in a limit order market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 213-237, July.
  96. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  97. Jiangze Bian & Kalok Chan & Donghui Shi & Hao Zhou, 2018. "Do Behavioral Biases Affect Order Aggressiveness?," Review of Finance, European Finance Association, vol. 22(3), pages 1121-1151.
  98. Fan, Yu-Ju & Lai, Hung-Neng, 2006. "The intraday effect and the extension of trading hours for Taiwanese securities," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 328-347.
  99. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
  100. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.
  101. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
  102. Gerke, Wolfgang & Arneth, Stefan & Syha, Christine, 2000. "The impact of the order book privilege on traders' behavior and the market process: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(2), pages 167-189, April.
  103. Verhoeven, Peter & Ching, Simon & Guan Ng, Hock, 2004. "Determinants of the decision to submit market or limit orders on the ASX," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 1-18, January.
  104. Pagano, Michael S. & Schwartz, Robert A., 2003. "A closing call's impact on market quality at Euronext Paris," Journal of Financial Economics, Elsevier, vol. 68(3), pages 439-484, June.
  105. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
  106. Roberto Pascual & David Veredas, 2009. "What pieces of limit order book information matter in explaining order choice by patient and impatient traders?," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 527-545.
  107. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
  108. Daniel F. Spulber, 1996. "Market Microstructure and Intermediation," Journal of Economic Perspectives, American Economic Association, vol. 10(3), pages 135-152, Summer.
  109. Gu, Gao-Feng & Xiong, Xiong & Zhang, Yong-Jie & Chen, Wei & Zhang, Wei & Zhou, Wei-Xing, 2016. "Stylized facts of price gaps in limit order books," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 48-58.
  110. Krause, Andreas, 2006. "Fat tails and multi-scaling in a simple model of limit order markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(1), pages 183-190.
  111. Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021. "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February.
  112. Alessandro Beber & Cecilia Caglio, 2005. "Order Submission Strategies and Information: Empirical Evidence from the NYSE," FAME Research Paper Series rp146, International Center for Financial Asset Management and Engineering.
  113. Jenwittayaroje, Nattawut & Charoenwong, Charlie & Ding, David K. & Yang, Yung Chiang, 2015. "Trading costs on the Stock Exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 31-40.
  114. Charoenwong, Charlie & Ding, David K. & Siraprapasiri, Vasan, 2011. "Adverse selection and corporate governance," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 406-420, June.
  115. Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005. "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers 05-05, University of Cologne, Centre for Financial Research (CFR).
  116. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  117. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
  118. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  119. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
  120. Anand, Amber & Weaver, Daniel G., 2004. "Can order exposure be mandated?," Journal of Financial Markets, Elsevier, vol. 7(4), pages 405-426, October.
  121. Gava, Luana, 2005. "The speed of limit order execution in the Spanish stock exchange," DEE - Working Papers. Business Economics. WB wb057718, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  122. Lo, Ingrid & Sapp, Stephen G., 2008. "The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1056-1073, November.
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