The self-financing equation in limit order book markets
type: Item
instance of: scholarly article
title: The self-financing equation in limit order book markets
zbMATH Open document ID: 1460.91246
published in: Finance and Stochastics
publication date: 2019-06-27T00:00:00Z
review text: The aim of this study is to present a mathematical foundation for trading on a limit order book taking into account associated transaction costs. Authors propose continuous-time equations generalizing the self-financing relationships of frictionless markets. These equations include a price impact or adverse selection constraint. Obtained results may be applied for management of low-frequency trading. Authors discus some financial market properties which are not widely accepted. In reviewed paper, the fulfillment of these properties by the considered financial markets is strongly verified with the use of statistical tests. From mathematical point-view, all considerations are proper.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7074036
zbMATH Keywords: self-financing equation
zbMATH Keywords: limit order book markets
author: René Carmona
author: Kevin N. Webster
MaRDI profile type: Publication
full work available at URL: s00780-019-00398-z
OpenAlex ID: W2950790448
cites work: Q5495335
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Wikidata QID: Q127704708
DOI: 10.1007/S00780-019-00398-Z
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description: scientific article; zbMATH DE number 7074036