|
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
|
| | |
| Title: | | Limit-Order Submission Strategies under Asymmetric Information  |
| 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
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/38895
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|