Queuing and inventories in limit order markets

Simple item page
dc.coverageDOI: 10.1016/j.finmar.2025.100982
dc.creatorGarriott, Corey
dc.creatorvan Kervel, Vincent
dc.creatorZoican, Marius
dc.date2025
dc.date.accessioned05-01-2026 18:09
dc.date.available05-01-2026 18:09
dc.description<p>Limit order markets use a queuing system in which limit orders must wait in line to execute. We show that the queue position of a limit order influences its adverse selection risk and inhibits inventory risk management. Trade may worsen market maker risk sharing, unlike many protocols without queuing. We uncover a crowding-out effect: An inventory shock reduces liquidity provision by market makers later in the queue. Using futures data, we confirm both low risk sharing and the crowding-out effect. These two results imply a trade-off, as the queuing sequence that optimizes risk sharing decreases quoted depth up to 8.4%.</p>eng
dc.identifierhttps://investigadores.uandes.cl/en/publications/cce8540c-ef69-4196-8917-17dd4164ec6f
dc.languageeng
dc.rightsinfo:eu-repo/semantics/openAccess
dc.sourcevol.75 (2025)
dc.subjectAdverse selection
dc.subjectInventory
dc.subjectLimit order books
dc.subjectLiquidity
dc.subjectQueuing
dc.titleQueuing and inventories in limit order marketseng
dc.typeArticleeng
dc.typeArtículospa
Files
Collections
Facultad de Ciencias Económicas y Empresariales