Feedback and efficiency in limit order markets

被引：0
|
作者：
Challet, Damien [1 ,2 ]
机构：
[1] Univ Fribourg, Dept Phys, CH-1700 Fribourg, Switzerland
[2] Inst Sci Interchange, I-10133 Turin, Italy
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 15期
关键词：
limit order markets; efficiency; arbitrage; feedback; data analysis; econophysics;
D O I：
10.1016/j.physa.2008.01.086
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact functions. (C) 2008 Elsevier B.V. All rights reserved.
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页码：3831 / 3836
页数：6
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