Market versus limit orders in an imperfectly competitive security

This paper analyzes the choice between limit and market orders in animperfectly competitive noisy rational expectations economy. There is a uniqueinsider, who takes into account the effect their trading has on prices. If theinsider behaves as a price taker, she will choose market orders if her privateinformation is very precise and she will choose limit orders otherwise. On thecontrary, if the insider recognizes and exploits her ability to affect themarket price, her optimal choice is to place limit orders whatever the precisionof her private information.

A-1A Supplemental Security Income Program, June 2005

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, December 2005

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, May 2003

A-1A - Supplemental Security Income Program

A-1A Supplemental Security Income Program, October 2007

A-1A Supplemental Security Income Program, October 2007