Limit-order submission strategies under asymmetric information

被引：43

作者：

Menkhoff, Lukas ^{[1
]}

Osler, Carol L. ^{[2
]}

Schmeling, Maik ^{[1
]}

机构：

[1] Leibniz Univ Hannover, D-30167 Hannover, Germany

[2] Brandeis Univ, Brandeis Int Business Sch, Waltham, MA 02454 USA

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 11期

关键词：

Limit-order market; Order submission; Informed traders; Market conditions; EMPIRICAL-ANALYSIS; INFORMED TRADERS; MARKET ORDERS; EXCHANGE; BOOK; LIQUIDITY; MODEL; EXECUTION; GEOGRAPHY; EVOLUTION;

D O I：

10.1016/j.jbankfin.2010.05.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2010 Elsevier BM. All rights reserved.

引用

页码：2665 / 2677

页数：13

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