JournalofFinancialMarkets2(1999)99}134Order#owcompositionandtradingcostsinadynamiclimitordermarket1ThierryFoucault*HECSchoolofManagement,1ruedelaLibe&ration,78351JouyenJosas,-executionandawinner',,testableimplicationsforthecross-sectionalbehaviorofthemixbetweenmarketandlimitordersandtradingcostsinlimitordermarketsarederived.(:G19;D44;C72Keywords:Marketmicrostructure;Limitordermarkets;Limitandmarketorders;Trad-ingcosts;Order#,buyersandsellerscarrytheirtradesbysubmittingeitherlimitordersor*.:33139679411;fax:33139677085;e-mail:foucault@,MatthewSpiegel(theEditor),FranklinAllen,JimAngel(theWFAdiscussant),PhillipeHenrotte,BertrandJacquillat,Jean-CharlesRochet,AilsaRoKell,PatrickSanda>s,"tedfromcommentsofseminarparticipantsatCarnegieMellonUniversity,theInstituteforEconomicAnalysis,PrincetonUniversity,",theNYSE,theParisBourse,(1993)reportsthat35"-4181/99/$-seefrontmatter(:S1386-4181(98)00012-3
