Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
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DOI: 10.1140/epjb/e2007-00067-9
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- Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169.
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- Kevin Primicerio & Damien Challet, 2019. "Large large-trader activity weakens the long memory of limit order markets," Post-Print hal-02021772, HAL.
- Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008.
"Empirical regularities of order placement in the Chinese stock market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
- Gao-Feng Gu & Wei Chen & Wei-Xing Zhou, 2007. "Empirical regularities of order placement in the Chinese stock market," Papers 0712.0912, arXiv.org.
- Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
- Jiahua Wang & Hongliang Zhu & Dongxin Li, 2018. "Price Dynamics in an Order-Driven Market with Bayesian Learning," Complexity, Hindawi, vol. 2018, pages 1-15, November.
- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009.
"Diffusive behavior and the modeling of characteristic times in limit order executions,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007. "Diffusive behavior and the modeling of characteristic times in limit order executions," Papers physics/0701335, arXiv.org, revised Dec 2008.
- David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
- P. Peirano & D. Challet, 2012.
"Baldovin-Stella stochastic volatility process and Wiener process mixtures,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(8), pages 1-12, August.
- Pier Paolo Peirano & Damien Challet, 2012. "Baldovin-Stella stochastic volatility process and Wiener process mixtures," Post-Print hal-00734355, HAL.
- Ni, Xiao-Hui & Jiang, Zhi-Qiang & Gu, Gao-Feng & Ren, Fei & Chen, Wei & Zhou, Wei-Xing, 2010.
"Scaling and memory in the non-Poisson process of limit order cancelation,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2751-2761.
- Xiao-Hui Ni & Zhi-Qiang Jiang & Gao-Feng Gu & Fei Ren & Wei Chen & Wei-Xing Zhou, 2009. "Scaling and memory in the non-poisson process of limit order cancelation," Papers 0911.0057, arXiv.org.
- Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Gao-Feng Gu & Xiong Xiong & Wei Zhang & Yong-Jie Zhang & Wei-Xing Zhou, 2014. "Empirical properties of inter-cancellation durations in the Chinese stock market," Papers 1403.3478, arXiv.org.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
- Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Challet, Damien & Peirano, Pier Paolo, 2008. "The ups and downs of the renormalization group applied to financial time series," MPRA Paper 9770, University Library of Munich, Germany.
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Keywords
89.65.Gh Economics; econophysics; financial markets; business and management; 05.40.Jc Brownian motion; 89.75.Da Systems obeying scaling laws;All these keywords.
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