| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4510 |
| DP4510 Purchasing Power Parity and the Euro Area | |
| Kees Koedijk; Ben Tims; Mathijs Van Dijk | |
| 发表日期 | 2004-07-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We present a method for identifying and estimating the gains from trade in limit order markets and provide new empirical evidence that the limit order market is a good market design. The gains from trade in our model arise because traders have different valuations for the stock. We use observations on the traders? order submissions and the execution and cancellation histories of the traders? order submissions to estimate the distribution of traders? unobserved valuations for the stock. We use the parameter estimates for our model to compute the current gains from trade in the limit order market and the gains from trade that the traders would attain in a perfectly liquid market. |
| 主题 | Financial Economics |
| 关键词 | Limit order markets Gains from trade Discrete choice Allocative efficiency |
| URL | https://cepr.org/publications/dp4510 |
| 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/533450 |
| 推荐引用方式 GB/T 7714 | Kees Koedijk,Ben Tims,Mathijs Van Dijk. DP4510 Purchasing Power Parity and the Euro Area. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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