| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 957971 | Journal of Economics and Business | 2013 | 27 Pages |
Abstract
⺠We develop a dynamic model of a limit order market populated with liquidity traders. ⺠Traders have only private values in a setting without adverse selection. ⺠The equilibrium bid-ask spread is increasing in the dispersion in private values across traders. ⺠Extending the life span of limit orders reduces the average bid-ask spread in equilibrium. ⺠The frequency of market order submissions is increasing in the dispersion in liquidity traders' private values.
Related Topics
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Authors
Onur Bayar,