This paper reviews and analyzes the legal and economic aspects of the duty of best
execution. Although a well-established principle of securities trading, we show that the dual …

Publisher Summary This chapter provides an overview of the various approaches to
modeling microstructure time series. Rather than recapitulate these developments, it is …

As a centralized, computerized, limit order market, the Paris Bourse is particularly
appropriate for studying the interaction between the order book and order flow. Descriptive …

Execution costs, as measured by the quoted spread, the effective spread (which accounts for
trades inside the quotes), the realized spread (which measures revenues of suppliers of …

The interactions that occur in securities markets are among the fastest, most information
intensive, and most highly strategic of all economic phenomena. This book is about the …

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 …

Trading systems differ in their degree of transparency, here defined as the extent to which
market makers can observe the size and direction of the current order flow. We investigate …

The development of high frequency data bases allows for empirical investigations of a wide
range of issues in the financial markets. In this paper, we set out some of the many important …

I examine the information content of a limit order book in a purely order-driven market. I
analyze how the state of the limit order book affects a trader's strategy. I develop an …

We model a dynamic limit order market as a stochastic sequential game with rational
traders. Since the model is analytically intractable, we provide an algorithm based on Pakes …