Reduced form modeling of limit order markets

DOI10.1080/14697688.2011.589402zbMath1279.91193arXiv1006.4517OpenAlexW2094154574MaRDI QIDQ2873532

Teemu Pennanen, Pekka Malo

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.4517

zbMATH Keywords

stochastic modelslimit order markettrading costsliquidity modelling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (9)

Dual representation of superhedging costs in illiquid markets ⋮ Approximation and comparison of the empirical liquidity cost function for various futures contracts ⋮ Convex duality in optimal investment under illiquidity ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Introduction to convex optimization in financial markets ⋮ What drives the sensitivity of limit order books to company announcement arrivals? ⋮ Unnamed Item ⋮ Bilateral exchange and competitive equilibrium

Cites Work

• Arbitrage and deflators in illiquid markets
• Computation of estimates in segmented regression and a liquidity effect model
• Liquidity risk and arbitrage pricing theory
• Martingales and arbitage in securities markets with transaction costs
• AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
• SUPERHEDGING IN ILLIQUID MARKETS
• A Stochastic Model for Order Book Dynamics
• Optimal Liquidity Trading*
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Galerkin methods in dynamic stochastic programming
• Optimal execution strategies in limit order books with general shape functions
• Random walks, liquidity molasses and critical response in financial markets

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