Limit-Order Submission Strategies under Asymmetric Information

Lukas Menkhoff, Carol Osler and Maik Schmeling

No 3054, CESifo Working Paper Series from CESifo

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)
JEL-codes: G20 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Journal Article: Limit-order submission strategies under asymmetric information (2010)
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