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/0612016MaRDI 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
91B80: Applications of statistical and quantum mechanics to economics (econophysics)
91G80: Financial applications of other theories
