Informed Traders and Limit Order Markets

By R. Goettler, Christine A. Parlour, Uday Rajan. 2008

276 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/31fe6e9f93edce5a9203a9d223239a701d47d703

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Citations in the corpus

What Do Price Discovery Metrics Really Measure (2013, background): “Furthermore, if informed traders use a relatively high proportion of limit orders because they face lower adverse selection risks (e.g., Rindi, 2008) then quotes may be faster to adjust to innovations in the fundamental value than trade prices (Goettler et al., 2009).”
High‐Frequency Trading and Market Performance (2020, unknown): “The advantages of NDs and FBAs are clear: they achieve the frontier of the tradeoff between liquidity and information production (which LOBs generally do not).”
Informed trading and price discovery before corporate events (2015, unknown): “5 Novel exceptions are Kumar and Seppi (1994), Chakravarty and Holden (1995), Kaniel and Liu (2006), Goettler, Parlour, and Rajan (2009), Boulatov and George (2013) , and Rosu (2014) .”
Endogenous Liquidity in Credit Derivatives (2012, unknown): “Goettler, Parlour, and Rajan (2009) numerically solve the equilibrium of a dynamic limit order market in which traders decide whether to acquire information about the fundamental value of the traded asset before placing market or limit orders.”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, background): “W ∗ ST = φLO∗ ST φLO∗ ST + φ MO∗ ST V LO∗ ST + φMO∗ ST φLO∗ ST + φ MO∗ ST VMO∗ ST (13)”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Relevant theories are provided by Goettler, Parlour, and Rajan (2005, 2008), Rosu (2009), and Biais and Weill (2009), who directly treat price impacts and reversals.”
Algorithmic Trading and the Market for Liquidity (2013, unknown): “These traders would constantly reprice their orders and prevent spreads from widening beyond a certain point; both of these features can help simplify theoretical models as they reduce the dimensionality of the state space (see also Goettler, Parlour, and Rajan (2009)).”
Dark Trading and Price Discovery (2015, background): “28 For example, Bloomfield, O’Hara, and Saar (2005), Kaniel and Liu (2006), Goettler et al. (2009), Roşu (2013), and Boulatov and George (2013).”
Limit-Order Submission Strategies under Asymmetric Information (2010, background): “…et al. 2005).1 The field’s focus has by now shifted to the inter-temporal determinants of limit-order submission (e.g., Parlour 1998, Foucault 1999, Goettler et al. 2005, 2009, Rosu 2008, 2009, Foucault et al. 2005), including the response of limit orders to changes in spreads, depth, volatility,…”
Do Dark Pools Harm Price Discovery (2013, unknown): “Chakravarty and Holden (1995), Kaniel and Liu (2006), and Goettler, Parlour, and Rajan (2009) allow informed traders, but incorporating a dark pool into their models is far from trivial.”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “Relevant theories are provided by Goettler, Parlour, and Rajan (2005), Goettler, Parlour, and Rajan (2008), Rosu (2009), and Biais and Weill (2009), who directly treat price impacts and reversals.”
Does AMD Spur Intel to Innovate More? (2011, background): “Substitute the right-hand sides of (23) into (27) and (26).”
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (2011, background): “Trading environments in which market makers are distinct from other traders are examined in the theoretical models of Kyle (1985) and Glosten and Milgrom (1985,1989).”