Order Flow Composition and Trading Costs in Dynamic Limit Order Markets
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- 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.
- Thierry Foucault, 1999. "Order flow composition and trading costs in a dynamic limit order market," Post-Print hal-00459769, HAL.
- Thierry Foucault, 2011. "Order Flow Composition and Trading Costs in a Dynamic Limit Order Market," Working Papers hal-00601598, HAL.
References listed on IDEAS
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More about this item
Keywordsbid and ask prices; limit and market orders; limit order markets; market microstructure; order flow composition;
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
- G19 - Financial Economics - - General Financial Markets - - - Other
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