Order flow composition and trading costs in a dynamic limit order market

Author: Foucault T.

Source: Journal of Financial Markets, Volume 2, Number 2, May 1999 , pp. 99-134(36)

Publisher: Elsevier

Keywords: [JEL classification codes] G19; [JEL classification codes] D44; [JEL classification codes] C72; Market microstructure; Limit order markets; Limit and market orders; Trading costs; Order flow composition

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S1386-4181(98)00012-3

Affiliations: 1: HEC School of Management, 1 rue de la Liberation, 78351 Jouy en Josas, , France

Publication date: 1999-05-01

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