Continuous time trading of a small investor in a limit order market

DOI10.1016/j.spa.2013.01.017zbMath1290.91148OpenAlexW2028217362MaRDI QIDQ2444632

Maximilian Stroh, Christoph Kühn

Publication date: 10 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.01.017

zbMATH Keywords

trading strategieslimit order marketsrandom measuresexecution mechanismbest-ask pricebest-bid price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Random measures (60G57) Portfolio theory (91G10)

Cites Work

• The fundamental theorem of asset pricing under transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
• Towards a general theory of bond markets
• Optimal portfolios of a small investor in a limit order market: a shadow price approach
• The mathematics of arbitrage
• A theory of stochastic integration for bond markets
• Optimal Execution in a General One-Sided Limit-Order Book
• A Stochastic Model for Order Book Dynamics
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• A steady-state model of the continuous double auction
• Optimal high-frequency trading with limit and market orders
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