The Rodney L . White Center for Financial Research An Empirical Analysis of Limit Order Markets

  • Burton Hollifield Robert A. Miller Patrik Sandas
  • Published 1999
This paper analyzes order placement strategies in a limit order market. Traders submitting market or limit orders to the limit order book trade off the order price, the execution probability, and the winner’s curse risk associated with different feasible order choices. Their optimal order strategy is characterized by a monotone function which maps the… CONTINUE READING