Equilibrium in a Dynamic Limit Order Market
构建了一个理性交易者参与的动态限价订单市场随机序贯博弈模型，通过算法求解马尔可夫完美均衡，发现报价中点不能很好代理真实价值，市价单提交者的交易成本平均为负且与有效价差负相关，缩小最小报价变动单位虽不帕累托改进但增加总投资者剩余。
ABSTRACT We model a dynamic limit order market as a stochastic sequential game with rational traders. Since the model is analytically intractable, we provide an algorithm based on Pakes and McGuire (2001) to find a stationary Markov‐perfect equilibrium. We then generate artificial time series and perform comparative dynamics. Conditional on a transaction, the midpoint of the quoted prices is not a good proxy for the true value. Further, transaction costs paid by market order submitters are negative on average, and negatively correlated with the effective spread. Reducing the tick size is not Pareto improving but increases total investor surplus.