The costs and determinants of order aggressiveness

By Mark D. Griffiths, Brian F. Smith, D. S. Turnbull, Robert W. White. 2000

317 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c8b6eaf85a3a53846918a9823cc848e30d70b2b3

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Citations in the corpus

The information content of an open limit‐order book (2009, unknown): “Examples include, but are not limited to, Hasbrouck (1995, 2002), Harris et al. (1995), Huang (2002), and Eun and Sabherwal (2003).”
Limit-Order Submission Strategies under Asymmetric Information (2010, methodology): “The responses are generally consistent with comparable results for other markets (see Chung et al. 1999, Griffiths et al. 2000, Ahn et al. 2001, Bae et al. 2003, Hollifield et al. 2004, Ranaldo 2004, Beber and Caglio 2005, Ellul et al. 2007, Hasbrouck and Saar 2008, Rakowski and Beardsley 2008).16…”
Aggressive Orders and the Resiliency of a Limit Order Market (2005, methodology): “Apart from the analysis of the resiliency of the market as a whole, our research differs in two other ways from that from Griffiths et al. (2000) .”
Limit Order Markets: A Survey 1 (2008, background): “…is still possible since the knowledge that more investors will arrive in the future affects the trades to which rational investors agree 6See Griffiths et al. (2000) for the Toronto Stock Exchange, Ranaldo (2004) for the Swiss Stock Exchange, Cao, Hansch, and Wang (2004) for the Australian…”
Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book (2000, unknown): “Griffiths, Smith, Turnbull and White (2000) provide further details on the use of the TSE’s Order File.”
Just How Much Do Individual Investors Lose by Trading (2007, unknown): “Griffiths et al. (2000) find that aggressive buys are more likely than sells to be motivated by information.”
Estimating the Gains from Trade in Limit Order Markets (2006, unknown): “Griffiths et al. (2000) report similar findings for the Toronto Stock Exchange, and Ranaldo (2004) reports similar findings for the Swiss Stock Exchange.”
What really causes large price changes? (2003, background): “Goldstein and Kavajecz [23] document the effect of changes in tick size on limit order book depth, while several theoretical papers justify the existence of a positive bid–ask spread and investigate the motivations for placing limit orders as opposed to market orders [9, 19, 25, 29, 31, 52].”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “Ranaldo (2004) finds that increased recent volatility is associated with more aggressive orders, while Handa and Schwartz (1996) and Ahn, Bae, and Chan (2001) find that increased recent volatility induces more liquidity provision, consistent with the theoretical prediction in Foucault (1999).”