Public information arrival: Price discovery and liquidity in electronic limit order markets

2013 ◽  
Vol 37 (4) ◽  
pp. 1148-1159 ◽  
Author(s):  
Ryan Riordan ◽  
Andreas Storkenmaier ◽  
Martin Wagener ◽  
S. Sarah Zhang
Keyword(s):  
Price Discovery ◽  
Public Information ◽  
Limit Order ◽  
Limit Order Markets

Public Information Arrival: Price Discovery and Liquidity in Electronic Limit Order Markets

2011 ◽  
Author(s):  
Ryan Riordan ◽  
Andreas Storkenmaier ◽  
Martin Wagener
Keyword(s):  
Price Discovery ◽  
Public Information ◽  
Limit Order ◽  
Limit Order Markets

scholarly journals Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

2019 ◽  
Vol 12 (4) ◽  
pp. 164 ◽  
Author(s):  
Eric Ghysels ◽  
Giang Nguyen
Keyword(s):  
Price Discovery ◽  
Theoretical Models ◽  
Secondary Market ◽  
Market Liquidity ◽  
Order Book ◽  
Limit Order ◽  
Limit Order Markets ◽  
High Volatility ◽  
Speculative Trading ◽  
High Level

We examine price discovery and liquidity provision in the secondary market for bitcoin—an asset with a high level of speculative trading. Based on BTC-e’s full limit order book over the 2013–2014 period, we find that order informativeness increases with order aggressiveness within the first 10 tiers, but that this pattern reverses in outer tiers. In a high volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in response to the information asymmetry. We also find support to the Markovian learning assumption often made in theoretical models of limit order markets.

Dark Pools and Price Discovery in Limit Order Markets

2021 ◽  
Author(s):  
Vladimir Levin
Keyword(s):  
Price Discovery ◽  
Limit Order ◽  
Limit Order Markets ◽  
Dark Pools

Optimal Margin Requirements in Limit Order Markets

2009 ◽  
Author(s):  
Dan Ladley ◽  
Terje Lensberg ◽  
Klaus Reiner Schenk-Hoppé
Keyword(s):  
Limit Order ◽  
Limit Order Markets ◽  
Margin Requirements

scholarly journals Trading Fees and Efficiency in Limit Order Markets

2011 ◽  
Author(s):  
Jean-Edouard Colliard ◽  
Thierry Foucault
Keyword(s):  
Limit Order ◽  
Limit Order Markets

scholarly journals Does Anonymity Matter in Electronic Limit Order Markets?

2007 ◽  
Vol 20 (5) ◽  
pp. 1707-1747 ◽  
Author(s):  
Thierry Foucault ◽  
Sophie Moinas ◽  
Erik Theissen
Keyword(s):  
Limit Order ◽  
Limit Order Markets

scholarly journals Optimal Order Placement in Limit Order Markets

2012 ◽  
Author(s):  
Rama Cont ◽  
Arseniy Kukanov
Keyword(s):  
Optimal Order ◽  
Limit Order ◽  
Limit Order Markets

Price Discovery via Limit Order in FX Market

2020 ◽  
Author(s):  
Yoshihiro Kitamura
Keyword(s):  
Price Discovery ◽  
Limit Order ◽  
Fx Market

Zero-intelligence Models of Limit-order Markets

2007 ◽  
pp. 35-63 ◽  
Author(s):  
Robin Stinchcombe
Keyword(s):  
Limit Order ◽  
Limit Order Markets ◽  
Intelligence Models ◽  
Zero Intelligence
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