Hollifield and Miller are from Carnegie Mellon University, Sandås is from the University of Virginia and Centre for Economic Policy Research, and Slive is from HEC Montréal and Center for Research on e-finance. Sandås did part of this research as a faculty member at the University of Pennsylvania and as a visiting economist at the New York Stock Exchange. The comments and opinions expressed in this paper are the authors' and do not necessarily reflect those of the directors, members, or officers of the New York Stock Exchange. We thank the Carnegie Bosch Institute at Carnegie Mellon University, Institut de Finance Mathématique de Montréal, the Rodney L. White Center for Financial Research at Wharton and the Social Science and Humanities Research Council of Canada for providing financial support, and the Vancouver Stock Exchange for providing the data. Comments from participants at many seminars and conferences, an anonymous referee, an associate editor, the editor (Rob Stambaugh), Cevdet Aydemir, Dan Bernhardt, Giovanni Cespa, Pierre Collin-Dufresne, Larry Glosten, Bernd Hanke, Ohad Kadan, Pam Moulton, Jason Wei, and Pradeep Yadav have been helpful to us.
Estimating the Gains from Trade in Limit-Order Markets
Version of Record online: 11 JAN 2007
© 2006 the American Finance Association
The Journal of Finance
Volume 61, Issue 6, pages 2753–2804, December 2006
How to Cite
HOLLIFIELD, B., MILLER, R. A., SANDÅS, P. and SLIVE, J. (2006), Estimating the Gains from Trade in Limit-Order Markets. The Journal of Finance, 61: 2753–2804. doi: 10.1111/j.1540-6261.2006.01004.x
- Issue online: 11 JAN 2007
- Version of Record online: 11 JAN 2007
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