Derivatives pricing with market impact and limit order book
نویسندگان
چکیده
منابع مشابه
Optimal Pricing Strategies in a Continuum Limit Order Book
The paper is concerned with a continuum model of the limit order book, viewed as a noncooperative game for n players. An external buyer asks for a random amount X > 0 of a given asset. This amount will be bought at the lowest available price, as long as the price does not exceed a given upper bound P . One or more sellers offer various quantities of the asset at different prices, competing to f...
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We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision. Traders di®er by their impatience: less patient traders demand liquidity, more patient traders provide it. Three equilibrium patterns are obtained the pattern is determined by three parameters: th...
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Limit Order Book as a Market for Liquidity We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders differ by their impatience and seek to minimize their trading costs by optimally choosing between market and limit orders. We characterize the equilibrium order placement strategies and the waiting times for limit orders. In equilibrium less...
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ژورنال
عنوان ژورنال: Automatica
سال: 2017
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2017.08.028