TY  - UNPD
A1  - Van Achter, Mark
T1  - A dynamic limit order market with diversity in trading horizons
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,46
N2  - This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically, sellers are considered to have a trading horizon of two periods, whereas buyers only have a single-period trading scope (the extended buyer-horizon case is completely symmetric). Clearly, as the life span of their submitted limit orders is longer, this setting implies sellers are granted a natural advantage in supplying liquidity. This benefit is hampered, however, by the direct competition arising between consecutively arriving sellers. Closed-form characterizations for the order submission strategies are obtained when solving for the equilibrium of this dynamic game. These allow to examine how these forces affect traders´ order placement decisions. Further, the analysis yields insight into the dynamic process of price formation and into the market clearing process of a non-intermediated, order driven market.
T3  - CFS working paper series - 2008, 46 
KW  - Limit Order Market
KW  - Order Placement Strategy
KW  - Order Flow
KW  - Market Microstructure
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6189
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62250
ER  -