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Learning and Information Dissemination in Limit Order Markets
2013
Social Science Research Network
What can traders learn and how does learning affect the market? When information is asymmetric, short-lived, and uninformed traders learn, we present an artificial limit order market model to examine the effect of learning, information value, and order aggressiveness on information dissemination efficiency, bid-ask spread, order submission, and order profit of traders. We find that learning helps the uninformed traders to acquire private information more effectively and hence improves market
doi:10.2139/ssrn.2276350
fatcat:jfenxewpy5b2vnwxhd2ivp7gnq