English, Article, Journal or magazine article edition: Market versus Limit Orders in an Imperfectly Competitive Security Luís A. Medrano

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Bookmark: http://trove.nla.gov.au/version/152922
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Market versus Limit Orders in an Imperfectly Competitive Security
Author
  • Luís A. Medrano
Physical Description
  • preprint
Notes
  • This paper analyzes the choice between limit and market orders in an imperfectly competitive noisy rational expectations economy. There is a unique insider, who takes into account the effect their trading has on prices. If the insider behaves as a price taker, she will choose market orders if her private information is very precise and she will choose limit orders otherwise. On the contrary, if the insider recognizes and exploits her ability to affect the market price, her optimal choice is to place limit orders whatever the precision of her private information.
  • Market microstructure, limit orders, market orders, insider trading, market making, strategic behavior, rational expectations
  • RePEc:upf:upfgen:165
Language
  • English
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