Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
Year of publication: |
2007
|
---|---|
Authors: | Lillo, F. |
Published in: |
The European Physical Journal B - Condensed Matter and Complex Systems. - Springer. - Vol. 55.2007, 4, p. 453-459
|
Publisher: |
Springer |
Subject: | 89.65.Gh Economics | econophysics | financial markets | business and management | 05.40.Jc Brownian motion | 89.75.Da Systems obeying scaling laws |
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