The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.
Price Dynamics in Limit Order Markets
Abstract
This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the state of the limit order book. Each trader knows that her order will affect the order placement strategies of those who follow and the execution probability of her limit order is endogenous. All traders take this into account which, in equilibrium, generates systematic patterns in transaction prices and order placement strategies even with no asymmetric information.
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Citations
Cites
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Glosten, L. R., & Milgrom, P. R. (1985) · Journal of Financial Economics · doi:10.1016/0304-405x(85)90044-3 · Cited by 6,115
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
ROLL, R. (1984) · The Journal of Finance · doi:10.1111/j.1540-6261.1984.tb03897.x · Cited by 2,747
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
BIAIS, B., HILLION, P., & SPATT, C. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb05192.x · Cited by 1,149
Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
Lee, C. M. C., Mucklow, B., & Ready, M. J. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.345 · Cited by 1,052
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE
Huang, R. D., & Stoll, H. R. (1996) · Journal of Financial Economics · doi:10.1016/0304-405x(95)00867-e · Cited by 1,009
Order flow composition and trading costs in a dynamic limit order market
Foucault, T. (1999) · Journal of Financial Markets · doi:10.1016/s1386-4181(98)00012-3 · Cited by 672
Garman, M. B. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90006-4 · Cited by 551
Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading
PAGANO, M., & RÖELL, A. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02695.x · Cited by 545
Liquidity Provision with Limit Orders and a Strategic Specialist
Seppi, D. J. (1997) · Review of Financial Studies · doi:10.1093/rfs/10.1.103 · Cited by 518
The Trades of Market Makers: An Empirical Analysis of NYSE Specialists
HASBROUCK, J., & SOFIANOS, G. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05121.x · Cited by 374
Cited by
Just how much do individual investors lose by trading?
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn046 · Cited by 953
The “make or take” decision in an electronic market: Evidence on the evolution of liquidity
Bloomfield, R., O’Hara, M., & Saar, G. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.07.001 · Cited by 482
Agentic Trading: When LLM Agents Meet Financial Markets
Xia, Y., You, P., Wang, T., Liu, F., Qi, H., Wu, X., & Zhang, S. (2026) · arXiv · doi:10.48550/arxiv.2605.19337 · Cited by 4
Metadata
- Authors
- Parlour, C. A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1998-10
- Volume
- 11
- Issue
- 4
- Pages
- 789-816
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2103824572
- Cited by
- 594
- References
- 12
- FWCI
- 8.13
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
