A model for analyzing limit order trading in index futures markets

DOI10.1007/S002910050088zbMath0916.90010OpenAlexW1974060386MaRDI QIDQ1283722

Günter Bamberg, Gregor Dorfleitner

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050088

zbMATH Keywords

absorbed Brownian motionindex futureslimit order trading

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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