Optimal Trading in a Limit Order Book Using Linear Strategies
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چکیده
منابع مشابه
Optimal trading in a limit order book using linear strategies
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs, that trade sequentially in random order under time constraints and are not aware of the type of the other agents in their session. We assume that they submit limit orders using a simple linear function of the c...
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This paper studies four trading algorithms of a professional trader, in a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either privileged or regular, either a hedge fund or a brokery agency. The speed and cost of trading can be balanced by properly choosing active strategies on the displayed orders in the book and pass...
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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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However, technological advances have recently altered the way foreign exchange dealer conduct their business. Bilateral deals still happen, although email conversations are now the norm (typically using the Reuters D2000-1 dealing system). The brokers market has also been revolutionized by the introduction of two electronic broking systems (Reuters D2000-2 and Electronic Broking Services [EBS])...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1950602