Archive for March, 2010
The loan spread due to order processing costs
Monday, March 15, 2010 9:36 Comments OffParlour’s (1998) model considers the choice between market and limit orders to show the working of a limit order book. In her simplified world there are only strategic risk-neutral liquidity traders who are endowed with a different evaluation of the risky asset and arrive randomly at the market to submit either a market order (MO) [...]