Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérôme
dc.date.accessioned2021-09-14T15:25:32Z
dc.date.available2021-09-14T15:25:32Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21770
dc.language.isoenen
dc.subjectOrder Booken
dc.subjectLimit Order Execution Rateen
dc.subjectWelfareen
dc.subject.ddc332.6en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelD.D8.D83en
dc.titleInefficient Market Depthen
dc.typeCommunication / Conférence
dc.description.abstractenAn investor who uses a limit order in order to trade, instead of a market order, saves the bid-ask spread but incurs an execution delay. Thus, the use of limit orders slows down the rate at which gains from trade are realized, and then has a negative effect on welfare. With comparative statics, I show how some liquidity measures co-vary with investors’ welfare. I find that market depth negatively co-varies with welfare while the limit order execution rate positively co-varies with welfare. Indeed, when market depth is due to orders inefficiently queuing in the book, the limit order execution rate is low. It suggests that limit order execution rate should be taken into consideration for assessing market quality.en
dc.subject.ddclabelBourse, Marchés financiers. Taux d’intérêt – Stocks options – Optimisation mathématique – Analyse financièreen
dc.relation.conftitle2nd SAFE Market Microstructure Conferenceen
dc.relation.confdate2018-08
dc.relation.confcityFrankfurten
dc.relation.confcountryGermanyen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2021-09-14T15:01:26Z
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G14 - Information and Market Efficiency; Event Studies; Insider Tradingen
dc.subject.classificationjelHALD - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D82 - Asymmetric and Private Information; Mechanism Designen
dc.subject.classificationjelHALD - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D83 - Search; Learning; Information and Knowledge; Communication; Belief; Unawarenessen
hal.description.error<?xml version="1.0" encoding="utf-8"?> <sword:error xmlns:sword="http://purl.org/net/sword/error/" xmlns="http://www.w3.org/2005/Atom" href="http://purl.org/net/sword/error/ErrorBadRequest"> <title>ERROR</title> <updated>2021-09-14T17:25:33+02:00</updated> <author> <name>HAL SWORD API Server</name> </author> <source> <generator uri="https://api.archives-ouvertes.fr/sword" version="1.0">hal@ccsd.cnrs.fr</generator> </source> <summary>Some parameters sent with the request were not understood</summary> <sword:treatment>processing failed</sword:treatment> <sword:verboseDescription>{"meta":{"country":{"notInArray":"'germany' ne fait pas partie des valeurs attendues"}}}</sword:verboseDescription> <link rel="alternate" href="https://api.archives-ouvertes.fr" type="text/html"/> </sword:error>
hal.update-error.statusnewSubmission
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record