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dc.contributor.authorKelly, Francis Patricken
dc.contributor.authorYudovina, Elenaen
dc.date.accessioned2017-06-02T11:27:09Z
dc.date.available2017-06-02T11:27:09Z
dc.date.issued2017-07-21en
dc.identifier.issn0364-765Xen
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/264608
dc.description.abstractWe analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We make extensive use of fluid limits in order to establish recurrence properties of the model. We use the model to analyze various high-frequency trading strategies, and comment on the Nash equilibria that emerge between high-frequency traders when a market in continuous time is replaced by frequent batch auctions.
dc.description.sponsorshipThe second author’s research was partially supported by NSF Graduate Research Fellowship and NSF grant DMS-1204311.
dc.languageEnglishen
dc.language.isoenen
dc.publisherInforms
dc.titleA Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategiesen
dc.typeArticle
prism.publicationDate2017en
prism.publicationNameMathematics of Operations Researchen
dc.identifier.doi10.17863/CAM.10182
dcterms.dateAccepted2017-02-16en
rioxxterms.versionofrecord10.1287/moor.2017.0857en
rioxxterms.versionAMen
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2017-07-21en
dc.contributor.orcidKelly, Francis Patrick [0000-0002-7795-6049]
dc.identifier.eissn1526-5471en
rioxxterms.typeJournal Article/Reviewen
cam.issuedOnline2017-07-21en
rioxxterms.freetoread.startdate2100-01-01


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