This study compares the limit order behaviour and execution costs of retail and non-retail investors to examine the effectiveness with which these two groups of investors manage the trading process. Fundamental differences are found in the trading behaviours of the two groups, consistent with...

This study contributes to our understanding of the liquidity replenishment process in limit order markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model...