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UBC Theses and Dissertations
Analysis of limit order markets Slive, Joshua
Abstract
This dissertation consists of three essays analyzing the strategies of traders who participate in limit order markets from both theoretical and empirical perspectives. In the first essay, I examine the implications of asymmetric information on the strategies of traders facing a multi-period limit order market. In the second essay, we examine liquidity provision on a limit order market using a simple order-choice model where traders with extreme liquidity needs place market orders and traders with less extreme liquidity needs place limit orders or stay out of the market. In the third essay, I solve the dynamic problem of an investor in a limit order market who manages his order over the trading day.
Item Metadata
Title |
Analysis of limit order markets
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Creator | |
Publisher |
University of British Columbia
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Date Issued |
2002
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Description |
This dissertation consists of three essays analyzing the strategies of traders who participate
in limit order markets from both theoretical and empirical perspectives. In the first
essay, I examine the implications of asymmetric information on the strategies of traders facing
a multi-period limit order market. In the second essay, we examine liquidity provision on
a limit order market using a simple order-choice model where traders with extreme liquidity
needs place market orders and traders with less extreme liquidity needs place limit orders or
stay out of the market. In the third essay, I solve the dynamic problem of an investor in a
limit order market who manages his order over the trading day.
|
Extent |
6320036 bytes
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Genre | |
Type | |
File Format |
application/pdf
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Language |
eng
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Date Available |
2009-11-11
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Provider |
Vancouver : University of British Columbia Library
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Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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DOI |
10.14288/1.0099720
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URI | |
Degree | |
Program | |
Affiliation | |
Degree Grantor |
University of British Columbia
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Graduation Date |
2002-11
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Campus | |
Scholarly Level |
Graduate
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Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.