Optimal Order Size in Pro-Rata Markets

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired execution size

MoreLess

Year of publication:	2014
Authors:	Aldridge, Irene
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Börsenkurs \| Share price \| Wertpapierhandel \| Securities trading \| Mathematische Optimierung \| Mathematical programming
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The Journal of Trading Spring 2014, Vol. 9, No. 2: pp. 43-50 DOI: 10.3905/jot.2014.9.2.043 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 17, 2013 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2375862 [DOI]
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013061277