Matches in SemOpenAlex for { <https://semopenalex.org/work/W2177737379> ?p ?o ?g. }
- W2177737379 abstract "With the demise of traditional market makers and proliferation of algorithmic trading, it is no longer clear who provides liquidity in limit order book markets and what determines their liquidity provision decisions. To examine these issues, we develop and validate two empirical measures of informed traders’ order choice. We find that informed traders tend to use limit orders during periods of high uncertainty about the fundamental value (high volatility, wide spreads). At such times, mispricing is unlikely to be quickly corrected so by trading more patiently informed traders obtain better execution prices. Price discovery is slower when informed traders use limit orders and consequently their order choice acts as an uncertainty multiplier." @default.
- W2177737379 created "2016-06-24" @default.
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- W2177737379 date "2013-01-01" @default.
- W2177737379 modified "2023-09-27" @default.
- W2177737379 title "Liquidity Provision in Limit Order Book Markets" @default.
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- W2177737379 doi "https://doi.org/10.2139/ssrn.2312330" @default.
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