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http://bura.brunel.ac.uk/handle/2438/32968| Title: | Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information |
| Authors: | Steeley, J Schnitzlein, C Chelley-Steeley, P |
| Issue Date: | 20-Mar-2026 |
| Publisher: | Wiley |
| Citation: | Steeley, J., Schnitzlein, C. and Chelley-Steeley, P. (2026) 'Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information', International Journal of Finance and Economics, 0 (ahead of print), pp. 1-33. doi: 10.1002/ijfe.70200. |
| Abstract: | We test predictions of market microstructure theory relating to the determinants of order choice in a limit order book where information is dispersed among traders. Using an experimental limit order book, with a large state space, we find that informed traders exhibit patience, compatible with the ‘waiting game’ behaviour described in Foster and Viswanathan. In responding to expected profits, informed traders prefer limit orders that disguise their information as predicted by Roşu and Riccó et al. |
| Description: | Data Availability Statement: The data that support the findings of this study are available from the corresponding author upon reasonable request. |
| URI: | https://bura.brunel.ac.uk/handle/2438/32968 |
| DOI: | https://doi.org/10.1002/ijfe.70200 |
| ISSN: | 1076-9307 |
| Other Identifiers: | ORCiD: James Steeley https://orcid.org/0000-0003-0345-5089 |
| Appears in Collections: | Department of Economics, Finance and Accounting Research Papers * |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2026 The Author(s). International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits use, distribution and reproduction in any medium, provided the original work is properly cited. | 1.52 MB | Adobe PDF | View/Open |
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