| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2934
|
| DP2934 Knowledge Spillovers and the Growth of Local Industries |
| Mario Forni; Sergio Paba
|
| 发表日期 | 2001-08-18
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ in their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained, and these patterns are determined by three parameters: the degree of impatience on the part of patient traders, which we model as the cost of execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the liquidity providers; and the tick size, which is the cost of the minimal price improvement. Despite its simplicity, the model generates a rich set of empirical predictions on the relation between market parameters, time to execution, and spreads. |
| 主题 | Financial Economics
|
| 关键词 | Limit order markets
Market orders
Liquidity
|
| URL | https://cepr.org/publications/dp2934
|
| 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/531966
|
推荐引用方式
GB/T 7714 |
Mario Forni,Sergio Paba. DP2934 Knowledge Spillovers and the Growth of Local Industries. 2001.
|
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