IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

Information Acquisition in a Limit Order Market

  • Ronald Goettler
  • Christine Parlour
  • Uday Rajan
Registered author(s):

    We model an infinite horizon trading game of a limit order market with informed traders. Agents with a private and common value motive for trade randomly arrive in a market and may either post prices (submit limit orders) or accept posted prices (submit market orders). If their orders have not executed, traders may reenter the market and thus solve a dynamic problem. We consider agents incentive to acquire information. We characterize how information acquisition changes agents strategies and demonstrate the effect of this on the e±ciency of market prices. We demonstrate that for some costs of acquiring information, there are multiple equilibria in the information acquisition game. Finally, we demonstrate that information acquisition can make all agents worse off.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Our checks indicate that this address may not be valid because: 500 Can't connect to If this is indeed the case, please notify (Steve Spear)

    Download Restriction: no

    Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 2004-E53.

    in new window

    Date of creation:
    Date of revision:
    Handle: RePEc:cmu:gsiawp:1090516546
    Contact details of provider: Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
    Web page:

    Order Information: Web:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cmu:gsiawp:1090516546. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Steve Spear)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.