Price Dynamics in Limit Order Markets
构建了一个单跳动动态模型，分析限价订单市场中交易者如何根据订单簿状态选择订单类型，并解释价格和订单策略的系统性模式。
This article presents a one-tick dynamic model of a limit order market. Agents choose to submit a limit order or a market order depending on the state of the limit order book. Each trader knows that her order will affect the order placement strategies of those who follow and the execution probability of her limit order is endogenous. All traders take this into account which, in equilibrium, generates systematic patterns in transaction prices and order placement strategies even with no asymmetric information.