Empirical Analysis of Limit Order Markets
基于限价订单市场的最优订单提交模型，利用斯德哥尔摩证券交易所的数据检验了订单提交策略与交易者估值之间的单调性关系，发现买卖订单分别满足单调性，但联合检验时被拒绝。
We provide empirical restrictions of a model of optimal order submissions in a limit order market. A trader's optimal order submission depends on the trader's valuation for the asset and the trade-offs between order prices, execution probabilities and picking off risks. The optimal order submission strategy is a monotone function of a trader's valuation for the asset. We test the monotonicity restriction in a sample of order submissions and their realized outcomes from the Stockholm Stock Exchange. We do not reject the monotonicity restriction for buy orders or sell orders considered separately, but reject the monotonicity restriction for buy and sell orders considered jointly.