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Title:Limit-Order Submission Strategies under Asymmetric Information PDF Logo
Authors:Menkhoff, Lukas
Osler, Carol Lee
Schmeling, Maik
Issue Date:2010
Series/Report no.:CESifo working paper Monetary Policy and International Finance 3054
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.
Subjects:limit-order market
order submission
informed traders
market conditions
JEL:G20
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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