The simplicity of optimal trading in order book markets
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References listed on IDEAS
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More about this item
KeywordsContinuous Double Auction; Order Book; Information; Optimal Trading;
- D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-30 (All new papers)
- NEP-CMP-2014-03-30 (Computational Economics)
- NEP-MST-2014-03-30 (Market Microstructure)
- NEP-ORE-2014-03-30 (Operations Research)
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