Order aggressiveness and the diagonal effect in experimental double auction markets
This paper analyzes the behavior of players in experimental double auction markets. We show that the "diagonal effect", a well-known phenomenon observed in real markets, also shows up in experimental markets and is mainly due to order splitting.
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- Ron Kaniel & Hong Liu, 2006. "So What Orders Do Informed Traders Use?," The Journal of Business, University of Chicago Press, vol. 79(4), pages 1867-1914, July.
- Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
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