Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/38895 
Year of Publication: 
2010
Series/Report no.: 
CESifo Working Paper No. 3054
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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
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