Limit Order Book as a Market for Liquidity
构建了一个由自主流动性交易者驱动的订单驱动市场动态模型，分析了不同耐心程度的交易者如何选择订单类型，并揭示了市场参数与执行时间、价差之间的关系。
We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders differ by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained- the pattern is determined by three parameters: the degree of impatience of the patient traders, which we model as the cost of execution delay in providing liquidity; their proportion in the population, which determines the degree of competition among the liquidity providers; and the tick size, which is the cost of the minimal price improvement. Despite its simplicity, the model generates a rich set of empirical predictions on the relation between market parameters, time to execution, and spreads. We argue that the economic intuition of this model is so basic, its Limit and market orders constitute the core of any order-driven continuous trading