برچسب: submitting market
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Hollifield, Miller, Sandas And Slive-Liquidity Supply And Demand In Limit Order Markets
Liquidity Supply and Demand in Limit Order Markets* We model a trader’s decision to supply liquidity by submitting limit orders or demand liquidity by submitting market orders in a limit order market. The bestquotes and the execution probabilities and picking-off risks of limit orders determine the price of immediacy. The price of immediacy and the […]