Continuous time trading of a small investor in a limit order market
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Luciano Campi & Walter Schachermayer, 2006. "A super-replication theorem in Kabanov’s model of transaction costs," Finance and Stochastics, Springer, vol. 10(4), pages 579-596, December.
- repec:dau:papers:123456789/9300 is not listed on IDEAS
- M. De Donno & M. Pratelli, 2006. "A theory of stochastic integration for bond markets," Papers math/0602532, arXiv.org.
- Hugh Luckock, 2003. "A steady-state model of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 385-404.
- Martin Šmíd, 2007. "Are Limit Orders Rational?," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2007(4), pages 32-38.
- Fabien Guilbaud & Huyên Pham, 2013. "Optimal high-frequency trading with limit and market orders," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 79-94, January.
- repec:dau:papers:123456789/5455 is not listed on IDEAS
- Martin Šmíd, 2007. "On Uselessness of Limit Orders," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 14(24).
- Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997.
"Towards a general theory of bond markets (*),"
Finance and Stochastics,
Springer, vol. 1(2), pages 141-174.
- Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996. "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 143, Stockholm School of Economics.
- Aurélien Alfonsi & Alexander Schied, 2010. "Optimal trade execution and absence of price manipulations in limit order book models," Post-Print hal-00397652, HAL.
More about this item
KeywordsLimit order markets; Trading strategies; Random measures;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .