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On Uselessness of Limit Orders

Author

Listed:
  • Martin Šmíd

Abstract

We examine the continuous time portfolio selection problem involving limit orders; we show that this problem reduces to the corresponding problem without limit orders.

Suggested Citation

  • Martin Šmíd, 2007. "On Uselessness of Limit Orders," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 14(24).
  • Handle: RePEc:czx:journl:v:14:y:2007:i:24:id:154
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/154
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    Cited by:

    1. Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.

    More about this item

    Keywords

    Market microstructure; limit order market; portfolio selection;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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