0366294 20240103195741.720111108235959.9 33 s. cav_un_epca*03662930972-916X83 (2011)43-75 limit order market order high frequency trading price dicovery sentiment cav_un_auth*0101079 Derviz Alexis Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2011/E/derviz-information, sentiment, and price in a fast order-driven market.pdf CEZ:AV0Z10750506 An order-driven market is modeled in which many traders with heterogeneous private values and information submit limit and market orders simultaneously. Order execution is partially random. There may be a bias in the traders’ prior beliefs (“market sentiment”). In this environment, although market buys and sells depend monotonically on the degree of bullish sentiment, market order flows are in a non-monotonous relationship with the proportion of high private value traders (bulls). Additionally, sentiment has a stronger effect on volume and net direction of trades leading to a given central price, than the actual distribution of private values. 2012 AH 1 http://hdl.handle.net/11104/0201342 2011 cav_un_epca*0366293 IUP Journal of Financial Risk Management 0972-916X Roč. 8 č. 3 2011 43 75