B15Liquidityprovisioninalimitorderbookwithoutadverseselection..docx

B15Liquidity provision in a limit order book without adverse selection提供流通量的限价订单簿没有逆向选择Keywords: Market microstructure,Limit order markets ,Liquidity ,Private values关键词：市场微观结构，限价订单市场，流动性，私人价值观Abstract In this paper, we develop a dynamic model of a limit order market populated with liquidity traders who have only private values. We characterize and analyze the equilibrium order placement strategies of traders and the conditional execution probabilities of limit orders as a function of traders’ liquidity demand and the state of the limit order book. We solve for the equilibrium of the model numerically, and analyze its properties by performing comparative dynamics analysis. Our analysis shows that changes in the steady state of the limit order book and optimal order placement strategies reflect corresponding changes in the trade-off between order execution risk and the size of potential trading gains. The equilibrium order flow depends on the current state of the limit order book since a trader’s optimal trading strategy is largely affected by the time and price priorities of the existing limit orders in the book.在本文中，我们开发了一个限价订单市场与人口流动性交易者谁只有私有值的动态模型。我们表征和分析交易者的均衡下单策略和限价订单的条件执行概率为交易者的流动性需求和限价订单簿状态的功能。我们求解该模型数值的平衡，并通过执行比较动力学分析分析它的性能。我们的分析表明，在限价指令簿的稳态变化和最优订货的布局策略反映订单执行风险和潜在的贸易收益之间的大小相应变化权衡。平衡流通秩序依赖于限价指令簿的当前状态，因为一个交易者的最优交易策略在很大程度上是受时间和在书中现有的限价单的价格优先。 We demonstrate how changes in the dispersion of traders’ private values affect optimal trading strategies and conditional execution probabilities of limit orders. Our main result is that the dispersion in private values across traders has a significant impact on the stationary state of the equilibrium limit order book and the average bid–ask spread. A wider distribution of private values leads to more order placement at prices away from the consensus value, and therefore, to a larger bid–ask spread. Further, our numerical simulations show that extending the life span of limit orders reduces the average bid–ask spread observ