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| Tekijä: | Seppi, D. |
| Otsikko: | Liquidity provision with limit orders and a strategic specialist |
| Lehti: | Review of Financial Studies
1997 : SPRING, VOL. 10:1, p. 103-150 |
| Asiasana: | REVIEW FINANCE LIQUIDITY |
| Kieli: | eng |
| Tiivistelmä: | This article presents a microstructure model of liquidity provision in which a specialist with market power competes against a competitive limit order book. General solutions, comparative statics and examples are provided first with uninformative orders and then when order flows are informative. The model is also used to address two optimal market design issues. The first is the effect of "tick" size - for example, eights versus decimal pricing - on market liquidity. |
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