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Limit-order submission strategies under asymmetric information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677.

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Cited: 38

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  1. An Investigation of Trades That Move the BBO Using Strings. (2025). Huang, Ying ; Hill, Matthew D ; Zeng, Hong Chao.
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  2. Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh.
    In: Journal of Behavioral and Experimental Finance.
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  3. Trade-time clustering. (2023). Sun, Wei ; Jain, Pankaj K ; Black, Jeffrey R.
    In: Review of Quantitative Finance and Accounting.
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  4. Order submission, information asymmetry, and tick size. (2022). Yamamoto, Ryuichi ; Zhu, Hongyu.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22000968.

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  5. Order Choices: An Intraday Analysis of the Taiwan Stock Exchange. (2022). Hung, Pi-Hsia ; Lo, Hsiang-Yu ; Lien, Donald.
    In: The North American Journal of Economics and Finance.
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  6. Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market. (2021). Ekaputra, Irwan A ; Zeng, Hong Chao ; Rhee, Ghon S ; Liu, Chunlin.
    In: International Review of Finance.
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  7. The role of implied volatility in liquidity provision. (2020). Wee, Marvin ; Fong, Kingsley ; Yang, Joey Wenling ; Cahill, Daniel.
    In: Australian Journal of Management.
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  8. Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald.
    In: International Review of Economics & Finance.
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  9. Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi.
    In: Pacific-Basin Finance Journal.
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  10. The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Lajbcygier, Paul ; Pham, Manh Cuong ; Duong, Huu Nhan.
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  11. Speed and trading behavior in an order-driven market. (2019). Park, Seongkyu (Gilbert) ; Ryu, Doojin.
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  12. Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?. (2019). Nawn, Samarpan ; Banerjee, Ashok.
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  13. The effect of genetic algorithm learning with a classifier system in limit order markets. (2017). He, Xuezhong (Tony) ; Zhang, Yongjie ; Xiong, Xiong ; Wei, Lijian.
    In: Published Paper Series.
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  14. Order cancellations across investor groups: evidence from an emerging order-driven market. (2017). Wang, Zi-May ; Tong, Shiau-Yuan ; Chiao, Chaoshin.
    In: Review of Quantitative Finance and Accounting.
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  15. Optimal Liquidation of Child Limit Orders. (2017). Zhou, W ; S. C. P. Yam, .
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  16. Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange. (2016). Hung, Pi-Hsia.
    In: Pacific-Basin Finance Journal.
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  17. Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders. (2016). Gozluklu, Arie E.
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  18. Bid-Ask Spreads in OTC Markets. (2016). Kathitziotis, Neophytos ; Bjonnes, Geir ; Osler, Carol.
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  19. The Evolution of Informed Liquidity Provision: Evidence from an Order€ driven Market. (2016). Wee, Marvin ; Yang, Joey W.
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  20. Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol. (2015). Winkelried, Diego ; Lock, Eduardo .
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  21. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
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  22. Position limit for the CSI 300 stock index futures market. (2015). Shi, Lei ; Xiong, Xiong ; Zhang, Wei ; Wei, Lijian.
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  23. Learning, information processing and order submission in limit order markets. (2015). He, Xuezhong (Tony) ; Wei, Lijian ; Chiarella, Carl.
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  24. Position-Limit Design for the CSI 300 Futures Markets. (2014). Shi, Lei ; Xiong, Xiong ; Zhang, Wei ; Wei, Lijian.
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  25. Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin .
    In: Journal of Banking & Finance.
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  26. Order choices under information asymmetry in foreign exchange markets. (2014). Gau, Yin-Feng ; Wu, Zhen-Xing.
    In: Journal of International Financial Markets, Institutions and Money.
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  27. Contracts for dummies? The performance of investors in contracts for difference. (2014). Lee, Adrian ; Choy, Shan .
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  28. Learning and Information Dissemination in Limit Order Markets. (2013). Wei, Lijian ; He, Xuezhong (Tony) ; Zhang, Yongjie.
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  29. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
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  30. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Jie, Murphy Jun.
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  31. A survey of research into broker identity and limit order book. (2013). Westerholm, Joakim ; Pham, Thu Phuong.
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  32. Competition, signaling and non-walking through the book: Effects on order choice. (2013). Valenzuela, Marcela ; Zer, Ilknur.
    In: Journal of Banking & Finance.
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  33. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements. (2012). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin L..
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  34. Global liquidity risk in the foreign exchange market. (2012). Sarno, Lucio ; Phylaktis, Kate ; Banti, Chiara.
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  35. Price discovery in currency markets. (2011). Menkhoff, Lukas ; Mende, Alexander ; Osler, Carol L..
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  36. On the sources of private information in FX markets. (2011). Payne, Richard ; Moore, Michael.
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  37. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
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  38. Price Discovery in Currency Markets. (2010). Osler, Carol ; Menkhoff, Lukas ; Mende, Alexander.
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    RePEc:eee:jbfina:v:34:y:2010:i:11:p:2665-2677.

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  20. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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  21. Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. (2009). Bessembinder, Hendrik ; Panayides, Marios ; Venkataraman, Kumar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:3:p:361-383.

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  22. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext. (2009). Giot, Pierre ; Durré, Alain ; Beltran, Helena ; Durre, Alain.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:1:p:80-97.

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  23. Technology and liquidity provision: The blurring of traditional definitions. (2009). Hasbrouck, Joel ; Saar, Gideon.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

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  24. Herding and information based trading. (2009). Lai, Rose Neng ; Zhou, Rhea Tingyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:388-393.

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  25. Functional modelling of volatility in the Swedish limit order book. (2009). Elezovic, Suad .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2107-2118.

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  26. Order Dynamics in the Italian Treasury Security Wholesale Secondary Market. (2008). Ginebri, Sergio ; Coluzzi, Chiara .
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp08050.

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  27. Liquidity on the Scandinavian Order-driven Stock Exchanges. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_011.

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  28. Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_010.

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  29. Commonality under market stress: Evidence from an order-driven market. (2008). Brockman, Paul ; Chung, Dennis Y..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:17:y:2008:i:2:p:179-196.

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  30. The effect of price limits on intraday volatility and information asymmetry. (2008). Kim, Yong H. ; Yang, Jimmy J..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:16:y:2008:i:5:p:522-538.

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  31. Weather and intraday patterns in stock returns and trading activity. (2008). Lin, Yueh-Hsiang ; Chen, Sheng-Syan ; Chang, Shao-Chi ; Chou, Robin K..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:9:p:1754-1766.

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  32. Noise trading and the price formation process. (2008). berkman, henk ; Koch, Paul D..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:232-250.

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  33. Time and price impact of a trade: A structural approach. (2007). Theissen, Erik ; Wuensche, Oliver ; Grammig, Joachim.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0712.

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  34. Limit orders and the intraday behavior of market liquidity: Evidence from the Toronto stock exchange. (2007). Vo, Minh T..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2007:i:3:p:379-396.

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  35. Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

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  36. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006110.

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  37. A Budapest Likviditási Mérték bevezetéséről. A magyar részvények likviditásának összehasonlító elemzése a budapesti, a varsói és a londoni értéktőzsdéken. (2005). Vegh, Richard ; Kutas, Gabor .
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:777.

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  38. The make or take decision in an electronic market: Evidence on the evolution of liquidity. (2005). Bloomfield, Robert ; O'Hara, Maureen ; Saar, Gideon.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:75:y:2005:i:1:p:165-199.

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  39. Share price performance following actual share repurchases. (2005). Zhang, Hua.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:7:p:1887-1901.

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  40. Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong. (2005). Cheung, Yan Leung ; Cai, Jun ; Ahn, Hee-Joon.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:8:y:2005:i:4:p:421-451.

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  41. Price limit performance: evidence from transactions data and the limit order book. (2005). Kim, Kenneth ; Chan, Soon Huat ; Rhee, Ghon S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:2:p:269-290.

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  42. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Beltran, Helena ; Durre, Alain.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2005012.

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  43. Commonalities in the order book. (2005). Grammig, Joachim ; Giot, Pierre ; Beltran, Helena .
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2005011.

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  44. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

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  45. Does Anonymity Matter in Electronic Limit Order Markets?. (2004). Theissen, Erik ; Moinas, Sophie ; Foucault, Thierry.
    In: Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems.
    RePEc:trf:wpaper:3.

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  46. Determinants of the decision to submit market or limit orders on the ASX. (2004). Ching, Simon ; Verhoeven, Peter.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:1:p:1-18.

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  47. Market Dynamics Around Public Information Arrivals. (2002). Ranaldo, Angelo.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp45.

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  48. The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange. (2002). Hamao, Yasushi ; Cai, Jun ; Ho, Richard Y. K., ; Ahn, Hee-Joon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:4:p:399-430.

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  49. Liquidity Supply and Demand in Limit Order Markets. (2002). Slive, Joshua ; Sandas, Patrik ; Hollifield, Burton ; Miller, Robert A. ; Sands, Patrik.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3676.

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  50. Managerial timing and corporate liquidity: *1: evidence from actual share repurchases. (2001). Chung Dennis Y., ; Paul, Brockman.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:61:y:2001:i:3:p:417-448.

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