کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156747 958865 2011 43 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Continuous time trading of a small investor in a limit order market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Continuous time trading of a small investor in a limit order market
چکیده انگلیسی

We provide a mathematical framework to model continuous time trading of a small investor in limit order markets. We show how elementary strategies can be extended in a suitable way to general continuous time strategies containing orders with infinitely many different limit prices. The general limit buy order strategies are predictable processes with values in the set of nonincreasing demand functions. It turns out that our strategy set of limit and market orders is closed, but limit orders can turn into market orders when passing to the limit, and any element can be approximated by a sequence of elementary strategies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 6, June 2013, Pages 2011–2053
نویسندگان
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