LIMIT ORDER MARKETS

Peter Joakim Westerholm

Chapter 14 in Lecture Notes in Market Microstructure and Trading, 2019, pp 209-220 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Order driven markets — IntroductionThe Uniform-Pricing Rule and Single-Price AuctionsThe Discriminatory-Pricing Rule and Continuous Two-Sided AuctionsThe Derivative Pricing Rule and Crossing NetworksSummary and Points to RememberGPR(2005) Discussion Paper Limit Order BooksGPR(2005) Methodology and ModelGPR(2005) Simulation of modelGPR(2005) ResultsFuture Research Stemming from GPR(2005)Pagano and Roell (1996)The continuous auction, harder to analyze pp. 590–591Endogenous insider trading without pre-commitment to a strategy: The case of different trade sizes (large and small) — Future Research from Pagano and Roell (1996)

Keywords: Trading; Securities Markets; Priced Discovery; Liquidity; Microstructure; Investments (search for similar items in EconPapers)
JEL-codes: F10 (search for similar items in EconPapers)
Date: 2019
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