Limit-order submission strategies under asymmetric information

Lukas Menkhoff, Carol Osler and Maik Schmeling

Journal of Banking & Finance, 2010, vol. 34, issue 11, 2665-2677

Abstract: This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively insensitive to all these market conditions. The dominance of the informed over limit-order submissions is magnified by contrasts between them and the uninformed in the use of aggressively-priced limit orders.

Keywords: Limit-order; market; Order; submission; Informed; traders; Market; conditions (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (38)

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Working Paper: Limit-Order Submission Strategies under Asymmetric Information (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677

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