| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1829 |
| DP1829 Regional Redistribution and Stabilization by the Centre in Canada, France, the United Kingdom and the United States: New Estimates Based on Panel Data Econometrics | |
| Jacques MELITZ; Frederic Zumer | |
| 发表日期 | 1998-03-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper provides a game theoretic model of price formation and order placement decisions in a dynamic limit order market. Investors can choose to post limit orders or to submit market orders. Limit orders result in better execution prices but face a risk of non-execution and a winner?s curse problem. The execution probability of a limit order trader is endogenous and depends on the order placement decisions of the other traders. Solving for the equilibrium of this dynamic game, closed form solutions for the order placement strategies are obtained. Thus, testable implications for the cross-sectional behaviour of the mix between market and limit orders and trading costs in limit order markets are derived. It is also shown that the winner?s curse problem has a negative impact on the allocative efficiency of these markets. |
| 主题 | Financial Economics |
| 关键词 | Bid and ask prices Limit and market orders Limit order markets Market microstructure Order flow composition |
| URL | https://cepr.org/publications/dp1829 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530960 |
| 推荐引用方式 GB/T 7714 | Jacques MELITZ,Frederic Zumer. DP1829 Regional Redistribution and Stabilization by the Centre in Canada, France, the United Kingdom and the United States: New Estimates Based on Panel Data Econometrics. 1998. |
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