We would like to thank Geoffrey Booth, Tarun Chordia, Ian Domowitz, Joel Hasbrouck, Kenneth Kavajecz, Bill Kracaw, Bruce Lehmann, Mark Lipson, Chris Muscarella, Gideon Saar, Chester Spatt, Avanidhar Subrahmanyam, and seminar participants at The Pennsylvania State University, Rutgers, George Washington University, the Western Finance Association Meetings, the NBER-JFM Microstructure Conference, and the American Finance Association meetings for helpful comments. Financial support provided by Smeal Research Grants (Cao) is greatly appreciated. Special thanks to Gerald Gay (the editor) and an anonymous referee for insights that greatly improved the quality of our paper.
ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET
Version of Record online: 20 MAY 2008
© 2008 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 31, Issue 2, pages 113–140, Summer 2008
How to Cite
Cao, C., Hansch, O. and Wang, X. (2008), ORDER PLACEMENT STRATEGIES IN A PURE LIMIT ORDER BOOK MARKET. Journal of Financial Research, 31: 113–140. doi: 10.1111/j.1475-6803.2008.00234.x
- Issue online: 20 MAY 2008
- Version of Record online: 20 MAY 2008
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