Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice

@article{Valenzuela2013CompetitionSA,
  title={Competition, Signaling and Non-Walking Through the Book: Effects on Order Choice},
  author={Marcela Valenzuela and Ilknur Zer},
  journal={ERN: Information Asymmetry Models (Topic)},
  year={2013}
}
We investigate the effects of competition and signaling in a pure order driven market and examine the trading patterns of agents when walking through the book is not allowed. Our results suggest that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes. Moreover, it dominates the signaling… 

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