Quote Setting and Price Formation in an Order Driven Market Puneet Handa

@inproceedings{Schwartz2002QuoteSA,
  title={Quote Setting and Price Formation in an Order Driven Market Puneet Handa},
  author={Robert N. Schwartz and Ashish Tiwari and Robert Leroy Jensen},
  year={2002}
}
This paper models quote setting and price formation in a non-intermediated, order driven market where trading occurs because investors differ in their share valuations and the advent of news that is not common knowledge, and tests the model using transaction data on individual stocks in the ParisBourse CAC40 index. As an extension of Foucault (1999), we show that the size of the spread is a function of the differences in valuation among investors and of adverse selection. Both GMM estimation of… CONTINUE READING
Highly Cited
This paper has 36 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.

References

Publications referenced by this paper.
Showing 1-10 of 23 references

The specialist’s order book and price anomalies, working paper

  • K. Rock
  • 1996
Highly Influential
5 Excerpts

Limit versus Market Orders, working paper, Goergetown University

  • J. Angel
  • 1995
Highly Influential
4 Excerpts

A specialist’s quoted depth and the limit order book

  • Kavajecz, A Kenneth
  • Journal of Finance
  • 1999

Order flow composition and trading costs in a dynamic order driven market

  • Foucault, Thierry
  • Journal of Financial Markets
  • 1999

Limit order trading

  • Handa, Puneet, Robert Schwartz
  • Journal of Finance
  • 1996

An empirical analysis of the limit order book and the order flow in the Paris Bourse

  • Biais, Bruno, Pierre Hillion, Chester Spatt
  • Journal of Finance
  • 1995

Similar Papers

Loading similar papers…