We model a dynamic limit order market as a stochastic sequential game with rational traders. Since the model is analytically intractable, we provide an algorithm based on <link rid="b43">Pakes and McGuire (2001)</link> to find a stationary Markov-perfect equilibrium. We then generate artificial time series and perform...

We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity ("RPI") as the "R"-super-2 of the regression of changes in a manager's portfolio holdings on changes in...