In this paper, we model a specialist call market. Liquidity traders and a strategic informed trader submit market orders. Strategic value traders compete with the specialist through the limit order book. Noise is introduced into the book through the number of value traders. We compare an equilibrium in an open limit order book environment with an equilibrium in a closed limit order book environment. We find that while liquidity traders and the informed trader are better off when the book is open, value traders are better off when the book is closed. We also show that on average, the opening price is more informative in the open book environment.
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Shmuel Baruch (2005) studied this question.
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