Order Dynamics: Recent Evidence from the NYSE

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Limit-Order Submission Strategies under Asymmetric Information (2010, background): “For this purpose we join other researchers, including Biais et al. (1995), Griffiths et al. (2000), Goettler et al. (2005), Ellul et al. (2007), and Tkatch and Kandel (2008), in distinguishing aggressive limit orders – meaning those priced within the spread – from patient limit orders – 10 For the…”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, unknown): “In particular, this differs from the practice in Smith (2000), Ellul et al. (2005), and Renaldo (2004), wherein events are defined solely by reference to order characteristics and market”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “Foucault, Moinas, and Theissen (2007) find that concealing liquidity suppliers’ identities can help improve market liquidity and price efficiency.”
A Dynamic Model of the Limit Order Book (2009, unknown): “Indeed, Ellul et al. (2007) provide evidence that orders routed to the automatic execution system of NYSE (as opposed to those routed to the floor auction process) display extreme impatience, yet they appear to be the less information-sensitive ones.”