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- Publisher
- Oxford University Press
- Copyright
- © Published by Oxford University Press.
- Subject
- Original Articles
- ISSN
- 0034-6527
- eISSN
- 1467-937X
- DOI
- 10.1111/0034-6527.00313
- Publisher site
- See Article on Publisher Site
Abstract
We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order submission strategy is a monotone function of a trader's valuation for the asset. We test the monotonicity restriction in a sample of order submissions and their realized outcomes from the Stockholm Stock Exchange. We do not reject the monotonicity restriction for buy orders or sell orders considered separately, but reject the monotonicity restriction for buy and sell orders considered jointly.
Journal
The Review of Economic Studies – Oxford University Press
Published: Oct 1, 2004
Keywords: JEL classification G12 G14