Access the full text.
Sign up today, get DeepDyve free for 14 days.
Donald Keim, Ananth Madhavan (1996)
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price EffectsReview of Financial Studies, 9
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
Christine Parlour (1998)
Price Dynamics in Limit Order MarketsReview of Financial Studies, 11
Duane Seppi, Praveen Kumar (1994)
Limit and Market Orders with Optimizing Traders
George Sofianos (1998)
Specialist Gross Trading Revenues at the New York Stock Exchange
Kenneth Kavajecz (1999)
A Specialist's Quoted Depth and the Limit Order BookJournal of Finance, 54
M. Spiegel, A. Subrahmanyam (1995)
On intraday risk premiaJournal of Finance, 50
Ananth Madhavan, George Sofianos (1994)
Auction and Dealer Markets: An Empirical Analysis of New York Stock Exchange Specialist Trading
(1996)
The Impact of Limit Order Executions on Trading Costs in NYSE Stocks: An Empirical Examination
L. Harris, Joel Hasbrouck (1996)
Market vs. Limit Orders: The SuperDOT Evidence on Order Submission StrategyJournal of Financial and Quantitative Analysis, 31
Sugato Chakravarty, C. Holden (1995)
An Integrated Model of Market and Limit OrdersJournal of Financial Intermediation, 4
Examines Alleged Price-Fixing on Nasdaq
(1995)
Why are Spreads Tighter on the Australian Stock Exchange than on the NYSE? An Electronic Limit Order Book Versus the Specialist Structure
L. Glosten, L. Harris (1988)
Estimating the components of the bid/ask spreadJournal of Financial Economics, 21
L. Harris (1994)
Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation SizesReview of Financial Studies, 7
J. Leach, Ananth Madhavan (1993)
Price Experimentation and Security Market StructureReview of Financial Studies, 6
Joel Hasbrouck (1993)
Assessing the Quality of a Security Market: A New Approach to Transaction-Cost MeasurementReview of Financial Studies, 6
L. Glosten (1989)
Insider Trading, Liquidity, and the Role of the Monopolist SpecialistThe Journal of Business, 62
(1993)
Discrete Prices in Securities Markets,
L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
B. Biais, Pierre Hillion, Chester Spatt (1995)
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris BourseJournal of Finance, 50
Joel Hasbrouck (1991)
The Summary Informativeness of Stock Trades: An Econometric AnalysisReview of Financial Studies, 4
Ananth Madhavan, George Sofianos (1998)
An empirical analysis of NYSE specialist tradingJournal of Financial Economics, 48
William Christie, P. Schultz (1994)
Why Do NASDAQ Market Makers Avoid Odd-Eighth Quotes?Journal of Finance, 49
(1997)
The Review of Financial Studies
(1993)
U.S. Equity Markets: A View of Recent Competitive Developments
Sanford Grossman, Merton Miller (1988)
Liquidity and Market StructureWharton School: Finance (Topic)
L. Glosten (1994)
Is the Electronic Open Limit Order Book InevitableJournal of Finance, 49
W. Curran (1985)
The Industrial Organization of Futures MarketsThe Financial Review, 20
(1996)
The Specialist’s Order Book and Price Anomalies,” forthcoming in Review of Financial Studies
(1995)
The Design of Limit Orders under a Hybrid Mechanism with Endogenous Depth
L. Harris (1998)
Optimal Dynamic Order Submission Strategies In Some Stylized Trading ProblemsFinancial Markets, Institutions and Instruments, 7
K. Cohen, Steven Maier, R. Schwartz, David Whitcomb (1981)
Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask SpreadJournal of Political Economy, 89
(1992)
Limit versus Market Orders
Ananth Madhavan, Minder Cheng (1997)
In Search of Liquidity: Block Trades in the Upstairs and Downstairs MarketsReview of Financial Studies, 10
(1992)
Market Failures and the Regulation of Financial Markets
M. Brennan, A. Subrahmanyam (1996)
Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 41
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, eighths versus decimal pricing — on market liquidity. Institutions trading large blocks have a larger optimal tick size than small retail investors, but both prefer a tick size strictly greater than zero. Second, a hybrid specialist/limit order market (like the NYSE) provides better liquidity to small retail and institutional trades, but a pure limit order market (like the Paris Bourse) may offer better liquidity on mid-size orders.
The Review of Financial Studies – Oxford University Press
Published: Jan 4, 1997
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.