Are Limit Orders Rational?
We examine whether it is rational to put limit orders in a limit order market. We find that limit orders are not needed and may be even disadvantageous given that the agent trades on-line. Further, we present a numerical study indicating that putting limit orders may be optimal given that the agent trades at discrete times but the benefit from using them in comparison with immediate buying and selling is negligible.
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Volume (Year): 2007 (2007)
Issue (Month): 4 ()
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