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EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/38895
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Menkhoff, Lukas | | en_US |
| dc.contributor.author | | Osler, Carol Lee | | en_US |
| dc.contributor.author | | Schmeling, Maik | | en_US |
| dc.date.accessioned | | 2010-06-03 | | en_US |
| dc.date.accessioned | | 2010-08-18T11:17:58Z | | - |
| dc.date.available | | 2010-08-18T11:17:58Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/38895 | | - |
| dc.description.abstract | | This paper provides evidence that informed traders dominate the response of limit-order submissions to shocks in a pure limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth. By contrast, uninformed traders are relatively insensitive to all these market conditions. The dominance of the informed over limit-order submissions is magnified by contrasts between them and the uninformed in the use of aggressively-priced limit orders. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | CESifo München | | en_US |
| dc.relation.ispartofseries | | CESifo working paper Monetary Policy and International Finance 3054 | | en_US |
| dc.subject.jel | | G20 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | limit-order market | | en_US |
| dc.subject.keyword | | order submission | | en_US |
| dc.subject.keyword | | informed traders | | en_US |
| dc.subject.keyword | | market conditions | | en_US |
| dc.subject.stw | | Wertpapierhandel | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Anlageverhalten | | en_US |
| dc.subject.stw | | Asymmetrische Information | | en_US |
| dc.subject.stw | | Schock | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Limit-Order Submission Strategies under Asymmetric Information | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 627337295 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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