Dynamic limit order placement activities and their effects on stock market quality
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-021-04282-y.pdf
Reference29 articles.
1. Ahn, H. J., Bae, K. H., & Chan, K. (2001). Limit orders, depth and volatility: Evidence from the stock exchange of Hong Kong. Journal of Finance, 56(2), 767–788. https://doi.org/10.1111/0022-1082.00345
2. Bacidore, J., Battalio, R., & Jennings, R. (2003). Order submission strategies, liquidity supply, and trading in pennies on the New York Stock Exchange. Journal of Financial Markets, 6(3), 337–362. https://doi.org/10.1016/S1386-4181(03)00003-X
3. Brogaard, J., Hagströmer, B., Nordén, L., & Riordan, R. (2015). Trading fast and slow: Colocation and liquidity. The Review of Financial Studies, 28(12), 3407–3443. https://doi.org/10.1093/rfs/hhv045
4. Buti, S., & Rindi, B. (2013). Undisclosed orders and optimal submission strategies in a limit order market. Journal of Financial Economics, 109(3), 797–812. https://doi.org/10.1016/j.jfineco.2013.04.002
5. Cao, C., Hansch, O., & Wang, X. (2008). Order placement strategies in a pure limit order book market. Journal of Financial Research, 31(2), 113–140. https://doi.org/10.1111/j.1475-6803.2008.00234.x
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