{'fraction_non_alphanumeric': 0.015427769985974754, 'fraction_numerical': 0.0, 'mean_word_length': 5.31858407079646, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
Limit Order Markets under Asymmetric Information

We develop a model of dynamic limit order markets under asymmetric information that can be simplified enough to be solved analytically. We find that informed traders tend to “make” liquidity in illiquid markets and “take” liquidity from more liquid markets. Time between arrivals of limit or market orders conveys information, resulting in repricing of orders in the book and generating the frequent cancellations and resubmissions that have become a staple of modern markets. A novel methodological contribution of our approach is its demonstration of the recursive nature of time-to-execution of limit orders that can be used to characterize equilibrium prices.