Equilibrium in a Dynamic Limit Order Market

By R. Goettler, Christine A. Parlour, Uday Rajan. 2005

403 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a07489cf64a12f3bfe7c77bdb24f9c703900ce2d

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Citations in the corpus

Does AMD Spur Intel to Innovate More? (2011, background): “Substitute the right-hand sides of (23) into (27) and (26).”
Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network (2007, neutral): “Other work on the competition between trading systems includes Glosten (1998), Santos and Scheinkman (2001), Di Noia (2001), Viswanathan and Wang (2002), Chemmanur and Fulghieri (2006), a CN and a DM. Existing models, however, consider a static environment to analyze this competition.”
Technology and Liquidity Provision: The Blurring of Traditional Definitions (2009, neutral): “, Biais, Hillion, and Spatt, 1995; Hamao and Hasbrouck, 1995; Ahn, Bae, and Chan, 2001; Biais, Bisiere, and Spatt, 2003; and Hollifield, Miller, and Sandås, 2004). Only a few studies model timing of executions and cancellations. Cho and Nelling (2000) and Lo, MacKinlay and Zhang (2002) estimate dura”
Order Dynamics: Recent Evidence from the NYSE (2003, background): “Goettler et al (2005) develop a more generalized model of a limit order book.”
Dynamic Games with Asymmetric Information: A Framework for Empirical Work* (2012, neutral): “Pakes and McGuire,2001, show that reinforcement learning has significanat computational advanatages when applied to full information dynamic games, a fact which has been used in several applied papers; e.g. Goettler, Parlour, and Rajan, 2005, and Berestenau and Ellickson, 2006.”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, neutral): “Harris (1996) finds that traders on the Paris Bourse are more likely to display their orders when the tick size is larger, which increases the cost of quote matching strategies.”
Limit-Order Submission Strategies under Asymmetric Information (2010, background): “…traders’ responses to changing spreads, volatility, depth, momentum, and time are easily explained with reference to the literature (Handa and Schwartz 1996, Parlour 1998, Goettler et al. 2005, Bloomfield et al. 2005), though the response to changing trade duration is more difficult to interpret.”
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.”
Informed Traders and Limit Order Markets (2008, neutral): “The reentry and endogenous cancellation represent a significant modeling improvement over Goettler, Parlour, and Rajan (2005), who treat cancellation as exogenous, so that each trader essentially enters the market only once.”
Limit Order Markets: A Survey 1 (2008, background): “Foucault (1999), Parlour (1998), Foucault, Kadan, and Kandel (2005), Goettler, Parlour, and Rajan (2005a, 2005b, 2007), and Rosu (2005) take this approach.”