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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.

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