Queuing Uncertainty of Limit Orders

The author thanks the editor (Agostino Capponi), an associate editor, and two referees for their constructive feedback and comments. Additionally, this paper benefits tremendously from very helpful discussions with Shmuel Baruch, Hans Degryse, Jérôme Dugast, Thierry Foucault, Sergei Glebkin, Terrence Hendershott, Andrei Kirilenko, Roman Kozhan, John Kuong, Katya Malinova, Albert Menkveld, Sophie Moinas, Artem Neklyudov, Andreas Park, Christine Parlour, Barbara Rindi, Ioanid Roşu, Duane Seppi, Mark van Achter, Vincent van Kervel, Kumar Venkataraman, Chen Yao, Mao Ye, Haoxiang Zhu, and the seminar and conference participants at the University of Gothenburg, Rotterdam School of Management, Aalto University Business School, INSEAD, IHS Vienna, Paris-Dauphine, China Interenational Conference in Finance (Chengdu), Western Finance Association meeting (Monterey), Frontiers of Finance (Warwick), 17th SGF (Zürich), 11th Paris Finance Meeting, and 2013 NBER Market Microstructure Meeting. There are no competing financial interests that might be perceived to influence the analysis, the discussion, and/or the results of this article.