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بایگانی‌ها Limit Order Book - مرجع آموزش بازار بورس و فارکس

Foucault, Kadan And Kandel-Limit Order Book As A Market For Liquidity

We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders differ by their impatience and seek to minimize their trading costs by optimally choosing between market and limit orders. We characterize the equilibrium order placement strategies and the waiting times for limit orders. In equilibrium less patient traders are […]

تاریخ : مارس 23rd, 0887