Estimating the Gains from Trade in Limit Order Markets

By Burton Hollifield, Robert A. Miller, Patrik Sandås, Joshua Slive. 2006

132 citations recorded by the source corpus.

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Limit Order Markets: A Survey 1 (2008, methodology): “Hollifield et al. (2006) use the first-order condition for the optimal order choice from Hollifield, Miller, and Sandås (2004) to recover a probability distribution over investors’ private values implied by observed order submissions.”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, background): “competition. Hendershott and Mendelson (2000) develop a model in which informed and”
Middlemen in Limit Order Markets (2016, unknown): “On the other hand, in the top-left region, θ is unrealistically high given the evidence in Hollifield et al. (2006).9 We therefore take our estimate seriously and conclude that it is indeed quite likely that M did raise welfare.”
A Dynamic Model of the Limit Order Book (2009, unknown): “…that arrivals are positively correlated: the “diagonal effect”; and that they depend on the state of the order book: the larger the bid-ask spread, the faster limit orders arrive to supply liquidity (Hollifield et al. 2006 argue that the opposite is true on the Vancouver stock exchange).”