A book is made for a horse race, and punters place their bets. The problem considered here is how the bookmaker should construct his book. Before this can be solved, it has to be determined how the punters will react to any proposed book. Much of the detailed discussion is confined to a race...

This study provides new evidence regarding the effect of limit order book disclosure on trading behavior. The natural experiment affected by the Sydney Futures Exchange in January 2001, when it increased limit order book disclosure from depth at the best bid and ask prices to depth at the three...