指令流组成与动态限价指令市场的交易成本(PDF 36页)

Abstract
This article provides a game theoretic model of price formation and order placement
decisions in a dynamic limit order market. Investors can choose to either post limit
orders or submit market orders. Limit orders result in better execution prices but face
a risk of non-execution and a winner's curse problem. Solving for the equilibrium of this
dynamic game, closed-form solutions for the order placement strategies are obtained.
Thus, testable implications for the cross-sectional behavior of the mix between market
and limit orders and trading costs in limit order markets are derived. ( 1999 Elsevier
Science B.V. All rights reserved.
JEL classixcation: G19; D44; C72
Keywords: Market microstructure; Limit order markets; Limit and market orders; Trading
costs; Order #ow composition
1. Introduction
Several security markets2 are organized as limit order markets. In these
markets, buyers and sellers carry their trades by submitting either limit orders or
* Corresponding author. Tel.: 33 1 39 67 94 11; fax: 33 1 39 67 70 85; e-mail: foucault@hec.fr.
1 I am grateful to Bruno Biais for numerous stimulating and insightful discussions. I also thank
two referees, Matthew Spiegel (the Editor), Franklin Allen, Jim Angel (the WFA discussant), Phillipe
Henrotte, Bertrand Jacquillat, Jean-Charles Rochet, Ailsa RoK ell, Patrick Sanda> s, Duane Seppi and
Chester Spatt for their suggestions. The paper also bene"ted from comments of seminar participants
at Carnegie Mellon University, the Institute for Economic Analysis, Princeton University, Toulouse
University and the 1998 WFA Meetings in Monterey. The author gratefully acknowledges the
"nancial support of DGICYT grant PB93-0388. All errors are mine.
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