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High-resilience limits of block-shaped order books
Kallsen, Jan; Muhle-Karbe, Johannes - 2014
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce...
Persistent link: https://www.econbiz.de/10011293740
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Limit Order Books
Gould, Martin David - 2013
Limit order books (LOBs) match buyers and sellers in more than half of the world's financial markets. This survey highlights the insights that have emerged from the wealth of empirical and theoretical studies of LOBs. We examine the findings reported by statistical analyses of historical LOB...
Persistent link: https://www.econbiz.de/10013092023
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Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
Alfonsi, Aurélien - 2010
We continue the analysis of optimal execution strategies in the model for a limit order book with nonlinear price impact and exponential resilience that was considered in Alfonsi, Schied, and Fruth (2009). We now allow for non-homogeneous resilience rates and arbitrary trading dates and consider...
Persistent link: https://www.econbiz.de/10013150422
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Explaining Securities Markets Efficiency
Sappideen, Razeen - 2009
substantiated truth in 1978. The claims of EMH have been challenged by behavioural theory (which shows that individuals do not act … to maximise their utility as asserted by neoclassical economists), entrepreneurial theory (which explains share price …
Persistent link: https://www.econbiz.de/10013156254
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The Paradox of Securities Markets Efficiency
Sappideen, Razeen - 2009
Fama proclaimed to be a well substantiated truth in 1978. Behavioural theory shows that individuals do not act to maximise … their utility as asserted by neoclassical economists, while entrepreneurial theory explains share price movements as being …, securities markets remain competitive. This article explains the need for a new theory which incorporates behavioural aspects of …
Persistent link: https://www.econbiz.de/10013156571
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Predatory Trading in a Rational Market
Fardeau, Vincent - 2019
, I obtain a new feedback loop between liquidity and predatory trading. On the one hand, limited depth helps predators …
Persistent link: https://www.econbiz.de/10012905755
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Uncertain execution in order-driven markets
Sánchez-Betancourt, Leandro - 2021
Persistent link: https://www.econbiz.de/10012939003
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Quasi-Centralized Limit Order Books
Gould, Martin - 2016
A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set...
Persistent link: https://www.econbiz.de/10013005342
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Anonymity and the Information Content of the Limit Order Book
Duong, Huu Nhan - 2014
, anonymity may improve liquidity but it comes at the cost of reduced price efficiency …
Persistent link: https://www.econbiz.de/10013053389
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Designating Market Maker Behaviour in Limit Order Book Markets
Panayi, Efstathios - 2015
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants … participants for a certain portion of the day, we argue that liquidity demand throughout the trading day is far from uniformly … distributed, and thus this liquidity provision may not be calibrated to the demand. We propose that quoting obligations also …
Persistent link: https://www.econbiz.de/10013017342