Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
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Publication:978838
DOI10.1140/epjb/e2007-00067-9zbMath1189.91124arXivphysics/0612016OpenAlexW2033851058MaRDI QIDQ978838
Publication date: 25 June 2010
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0612016
Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)
Related Items (5)
Price dynamics in an order-driven market with Bayesian learning ⋮ Structure-preserving desynchronization of minority games ⋮ Diffusive behavior and the modeling of characteristic times in limit order executions ⋮ Limit order books ⋮ Order scoring, bandit learning and order cancellations
Cites Work
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- Volatility in financial markets: Stochastic models and empirical results
- More statistical properties of order books and price impact
- Limit order market analysis and modelling: on a universal cause for over-diffusive prices
- Institutional Investors and Stock Market Volatility
- High-frequency trading in a limit order book
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