Market composition and price informativeness in a large market with endogenous order types

DOI10.1016/J.JET.2014.12.006MaRDI QIDQ896974zbMATH OpenOpenAlexFDO

Authors Edouard Challe, Edouard Chrétien

Publication date 15 December 2015

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2014.12.006

zbMATH Keywords

market microstructuremarket ordersprice informativeness

Mathematics Subject Classification ID

Signaling and communication in game theory (91A28) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)

Recommendations

• Market versus limit orders
• Strategic trading in informationally complex environments
• Price inference in small markets
• Order-driven markets are almost competitive
• Firm size, information acquisition and price efficiency

Cites work

• Information Acquisition in Financial Markets
• Information Acquisition in a Noisy Rational Expectations Economy
• Informed Speculation with Imperfect Competition
• The speed of information revelation in a financial market mechanism
• The tradeoff between risk sharing and information production in financial markets

Cited in

(1)

• Information, coordination, and market frictions: an introduction

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