Simple model of a limit order-driven market
نویسندگان
چکیده
منابع مشابه
Simple model of a limit order-driven market
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade stock (or any other risky asset for that matter) at the market price or place a limit order, i.e., an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a prede ned level. The choice between these two options is purely random (there are no str...
متن کاملMean-field approximation for a limit order driven market model.
A mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that the evolution of the order book is governed by a matrix multiplicative process. The resulting stationary distribution of step-to-step price changes is calculated. It e...
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Use of trading strategies to mislead other market participants, commonly termed market manipulation, has been identified as a major problem faced by present day stock markets. Although some mathematical models of market manipulation have been previously developed, this work presents a framework for manipulation in the context of a realistic computational model of a limit-order market. In this w...
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We formulate a simplified model of a limit order book, in which the arrival process is independent of the current state. We prove a phase transition result: there exist prices κb and κa such that, for any > 0, only finitely many bid (ask) departures occur at prices below κb− (above κa + ), while the interval (κb + , κa − ) infinitely often contains no bids, and infinitely often contains no asks...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(00)00067-4