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Liquidity supply in electronic markets

Author

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  • Aitken, Michael
  • Almeida, Niall
  • deB. Harris, Frederick H.
  • McInish, Thomas H.

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  • Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
  • Handle: RePEc:eee:finmar:v:10:y:2007:i:2:p:144-168
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    References listed on IDEAS

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    1. Burton Hollifield & Robert A. Miller & Patrik Sandås, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Oxford University Press, vol. 71(4), pages 1027-1063.
    2. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    3. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
    4. Handa, Puneet & Schwartz, Robert A, 1996. " Limit Order Trading," Journal of Finance, American Finance Association, vol. 51(5), pages 1835-1861, December.
    5. Bruno Biais & David Martimort & Jean-Charles Rochet, 2000. "Competing Mechanisms in a Common Value Environment," Econometrica, Econometric Society, vol. 68(4), pages 799-838, July.
    6. Keim, Donald B. & Madhavan, Ananth, 1995. "Anatomy of the trading process Empirical evidence on the behavior of institutional traders," Journal of Financial Economics, Elsevier, vol. 37(3), pages 371-398, March.
    7. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
    8. GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," CORE Discussion Papers 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    9. Ranaldo, Angelo, 2004. "Order aggressiveness in limit order book markets," Journal of Financial Markets, Elsevier, vol. 7(1), pages 53-74, January.
    10. Ronald L. Goettler & Christine A. Parlour, 2004. "Equilibrium in a Dynamic Limit Order Market," 2004 Meeting Papers 757, Society for Economic Dynamics.
    11. 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.
    12. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 327-341, June.
    13. 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.
    14. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
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    Citations

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    Cited by:

    1. Michael Aitken & Frederick Harris & Shan Ji, 2015. "A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency," Journal of Business Ethics, Springer, vol. 132(1), pages 147-170, November.
    2. repec:eee:pacfin:v:45:y:2017:i:c:p:68-81 is not listed on IDEAS
    3. 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.
    4. Kalev, Petko S. & Pham, Linh T., 2009. "Intraweek and intraday trade patterns and dynamics," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 547-564, November.
    5. Pantisa Pavabutr & Sukanya Prangwattananon, 2009. "Tick size change on the Stock Exchange of Thailand," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 351-371, May.
    6. Yamamoto, Ryuichi, 2014. "An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 369-383.
    7. Orlowski, Lucjan T., 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, vol. 25(C), pages 3-9.
    8. Smales, Lee A., 2016. "Order aggressiveness of different broker-types in response to monetary policy news," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 367-383.
    9. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
    10. repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0620-6 is not listed on IDEAS
    11. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    12. 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.
    13. repec:bla:acctfi:v:56:y:2016:i:4:p:917-933 is not listed on IDEAS
    14. 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.

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