2024-03-29T09:46:21Z
https://nagoya.repo.nii.ac.jp/oai
oai:nagoya.repo.nii.ac.jp:00008742
2023-11-13T02:19:11Z
659:853:854:1044
指値注文市場における均衡ビッド・アスク・スプレッド
An Analysis of Equilibrium Bid-Ask Spreads in Limit Order Markets
太田, 亘
OHTA, Wataru
open access
This article investigates the optimal order submission strategies and the expected bid-ask spread in the equilibrium of limit order markets. In submitting orders to limit order markets, traders can choose market orders or limit orders. If a market order is more advantageous than a limit order, a trader submits a market order, and vice versa. As a result, in an equilibrium, the bid-ask spread is formed by marginal traders for whom a limit order and a market order are indifferent. In our analysis, limit orders are assumed to expire one period after their submission to simplify the states of the limit order book. The model predicts that the bid-ask spread is narrower if incoming orders are more plentiful, if a larger number of traders are patient, and if the transaction fee of market orders is larger. The bid-ask spread is more volatile when there are fewer hours before the close of the market. In addition, the small tick size can make the bid-ask spread wide.
名古屋大学大学院経済学研究科
2006-09-30
jpn
departmental bulletin paper
VoR
https://doi.org/10.18999/ecos.54.2.1
http://hdl.handle.net/2237/10493
https://nagoya.repo.nii.ac.jp/records/8742
10.18999/ecos.54.2.1
0022-9725
経済科学
54
2
1
13
https://nagoya.repo.nii.ac.jp/record/8742/files/ecos_54_2_1.pdf
application/pdf
1.4 MB
2018-02-19