Working orders in limit order markets and floor exchanges

• 成果类型: Article
• 署名作者: Back, Kerry; Baruch, Shmuel
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; Utah System of Higher Education; University of Utah
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01252.x
• 发表日期: 2007
• 页码: 1589-1621
• 关键词: imperfect competition; liquidity provision; private information; securities markets; price adjustment; equilibrium; specialist; size; book

摘要

We analyze limit order markets and floor exchanges, assuming an informed trader and discretionary liquidity traders use market orders and can either submit block orders or work their demands as a series of small orders. By working their demands, large market order traders pool with small traders. We show that every equilibrium on a floor exchange must involve at least partial pooling. Moreover, there is always a fully pooling (worked order) equilibrium on a floor exchange that is equivalent to a block order equilibrium in a limit order market.