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我把论文摘要贴出来一下
We develop a dynamic model of an order-driven market populated by discretionary liquidity
traders. These traders differ by their impatience and seek to minimize their trading costs by
optimally choosing between market and limit orders. We characterize the equilibrium order
placement strategies and the waiting times for limit orders. In equilibrium less patient traders
are likely to demand liquidity, more patient traders are more likely to provide it. We find that the
resiliency of the limit order book increases with the proportion of patient traders and decreases
with the order arrival rate. Furthermore, the spread is negatively related to the proportion of
patient traders and the order arrival rate. We show that these findings yield testable predictions
on the relation between the trading intensity and the spread. Moreover, the model generates
predictions for time-series and cross-sectional variation in the optimal order-submission strategies.
Finally, we find that imposing a minimum price variation improves the resiliency of a limit order
market. For this reason, reducing the minimum price variation does not necessarily reduce the
average spread in limit order markets.
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