Continuous time trading of a small investor in a limit order market

被引：0

作者：

Kuehn, Christoph ^{[1
]}

Stroh, Maximilian ^{[2
]}

机构：

[1] Goethe Univ Frankfurt, Frankfurt MathFinance Inst, D-60054 Frankfurt, Germany

[2] Metzler Asset Management, Appl Res, D-60311 Frankfurt, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2013年 / 123卷 / 06期

关键词：

Limit order markets; Trading strategies; Random measures; TRANSACTION COSTS; MODEL; THEOREM; BOOK;

D O I：

10.1016/j.spa.2013.01.017

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：2011 / 2053

页数：43

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