OPTIMAL STRATEGY OF UNINFORMED TRADERS IN LIMIT ORDER MARKETS

被引：0

作者：

Bing, Tao ^{[1
]}

Zhao, Shangmei ^{[1
]}

Liu, Shancun ^{[1
]}

Zhang, Qiang ^{[2
]}

机构：

[1] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

[2] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China

来源：

ICIM'2016: PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON INDUSTRIAL MANAGEMENT | 2016年

关键词：

Limit order book; Optimal strategy; Order flow composition; Market depth; BOOK;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This article presents a tractable model of a limit order market in the framework of continuum. For the given tick size, the equilibrium is unique. The optimal strategy of traders with extreme private valuation is to submit a market order, and the optimal strategy of traders with moderate of private valuation is to submit a limit order. Furthermore, testable implications for the order flow composition and the market depth are derived.

引用

页码：804 / 810

页数：7

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