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Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2020.100566
Abstract: Abstract We develop a tractable model of a limit order market where informed and liquidity investors compete with a professional liquidity provider who has a monitoring advantage. We apply our model to study the impact…
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Keywords:
limit order;
order;
informed liquidity;
order market ... See more keywords