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Price formation and order placement strategies in a dynamic order driven market

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  • Thierry Foucault

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  • Thierry Foucault, 1994. "Price formation and order placement strategies in a dynamic order driven market," Economics Working Papers 99, Department of Economics and Business, Universitat Pompeu Fabra.
  • Handle: RePEc:upf:upfgen:99
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    Cited by:

    1. Luisa Fuster, 1995. "Altruism, uncertain lifetime and the distribution of wealth," Economics Working Papers 150, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Lo, Andrew W. & MacKinlay, A. Craig & Zhang, June, 2002. "Econometric models of limit-order executions," Journal of Financial Economics, Elsevier, vol. 65(1), pages 31-71, July.
    3. Ciccone, Antonio & Matsuyama, Kiminori, 1996. "Start-up costs and pecuniary externalities as barriers to economic development," Journal of Development Economics, Elsevier, pages 33-59.
    4. Nir Dagan, 1994. "Recontracting and competition," Economics Working Papers 152, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1996.
    5. Hurkens, Sjaak & Vulkan, Nir, 2001. "Information acquisition and entry," Journal of Economic Behavior & Organization, Elsevier, vol. 44(4), pages 467-479, April.
    6. José V. Rodríguez Mora, 1995. "Shared knowledge," Economics Working Papers 144, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, pages 193-226.
    8. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," IEHAS Discussion Papers 1540, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.

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