How to Compute the Liquidity Cost in the Orders-Driven Market?

The paper proposes a new method based on stochastic processes theory in orderto analyze the equilibrium on the financial markets under asymmetrical information. Thepaper proposes an analytical formula for the liquidity cost in the orders-driven market takinginto consideration the presence of the informed and uninformed investors on the market. Thisformula is obtained taking into the consideration the fact that an investor who places a limitorder offers an option to the rest of the market which can be exercised against him.