Reduced form modeling of limit order markets

DOI10.1080/14697688.2011.589402zbMath1279.91193arXiv1006.4517MaRDI 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 models; limit order market; trading costs; liquidity modelling

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B70: Stochastic models in economics

91B24: Microeconomic theory (price theory and economic markets)

Related Items

Unnamed Item, Bilateral exchange and competitive equilibrium, Convex duality in optimal investment under illiquidity, Introduction to convex optimization in financial markets, What drives the sensitivity of limit order books to company announcement arrivals?, Dual representation of superhedging costs in illiquid markets, Optimal investment and contingent claim valuation in illiquid markets, SUPERHEDGING IN ILLIQUID MARKETS

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