search query: @author Foucault, T. / total: 4
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| Author: | Foucault, T. |
| Title: | Order flow composition and trading costs in a dynamic limit trading market |
| Journal: | Journal of Financial Markets
1999 : MAY, VOL. 2:2, p. 99-134 |
| Index terms: | FINANCIAL MARKETS TRADE COSTS |
| Language: | eng |
| Abstract: | This article provides a game theoretic model of price formation and order placement decisions in a dynamic limit order market. Investors can choose to either post limit orders or submit market orders. Limit orders result in better execution prices but face a risk of non-execution and a winner's curse problem. Solving for the equilibrium of this dynamic game, closed-form solutions for the order placement strategies are obtained. |
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