More and more trading venues are organized as open limit order markets
in which assets are traded during continuous automated auctions. Unlike
in the most prominent of stock markets, the New York Stock Exchange, no
role is cast for a dedicated market maker re- sponsible for managing
liquidity supply. Whether traders asking for immediate transactions will
be able to buy or sell their desired volume without having to bear
large price impacts depends solely on the state of the electronic limit
order book. The limit order book consists of previously submitted, non
executed buy and sell orders with a given price limit which can be
viewed as free options written by patient market participants (see
Lehmann (2003)). In modern trading systems the state of the limit order
book is disclosed (albeit sometimes not entirely) at each point in time.
Download links :
An Analysis Of Order Submissions or
An Analysis Of Order Submissions
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