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Liquidity supply and adverse selection in a pure limit order book market

Author

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  • Stefan Frey

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  • Joachim Grammig

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Abstract

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Suggested Citation

  • Stefan Frey & Joachim Grammig, 2006. "Liquidity supply and adverse selection in a pure limit order book market," Empirical Economics, Springer, vol. 30(4), pages 1007-1033, January.
  • Handle: RePEc:spr:empeco:v:30:y:2006:i:4:p:1007-1033 DOI: 10.1007/s00181-005-0009-6
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    References listed on IDEAS

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    1. 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.
    2. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
    3. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
    4. 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.
    5. Alastair R. Hall & Fernanda P. M. Peixe, 2003. "A Consistent Method for the Selection of Relevant Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
    6. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, pages 193-213.
    7. 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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    Citations

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    Cited by:

    1. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
    2. repec:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0164-6 is not listed on IDEAS
    3. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
    4. Miguel A. Acedo & Fco. Javier Ruiz & Rafael Santamaría, 2008. "Influence of Secondary Offerings on the Liquidity and Trading Activity of Stocks Outstanding," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 21-37, January.
    5. Gimenez, G. & Sanau, J., 2009. "Investment, Human Capital and Institutions: A Multi-equational Approach for the Study of Economic Growth, 1985-2000," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    6. Sperl, Miriam, 2008. "Quantifying the efficiency of the Xetra LOB market: Detailed recipe," CFS Working Paper Series 2008/21, Center for Financial Studies (CFS).
    7. Alexandra Hachmeister & Dirk Schiereck, 2010. "Dancing in the dark: post-trade anonymity, liquidity and informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 34(2), pages 145-177, February.
    8. repec:wsi:qjfxxx:v:07:y:2017:i:03:n:s2010139217500070 is not listed on IDEAS
    9. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, EconWPA, revised 24 Oct 2005.

    More about this item

    Keywords

    Limit order book market; Liquidity supply; Adverse selection; G10; C32;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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