Are Limit Orders Rational?
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- 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.
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Keywordsmarket microstructure; limit order market; portfolio selection;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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