Limit Order Book Dynamics with Large Executions (Financial Modeling and Analysis)

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説明

We provide an endogenous model of limit order book dynamics to be applicable to the execution problem of large investors such as institutional investors. For the ask (bid) side limit order book formed by patient sellers (buyers), we consider the trading information of large investors will be incorporated into the bid (ask) side best price in order to make the limit order book consistent throughout the trading period. By giving the best price exogenously, it is possible to characterize the actions of patient sellers or buyers and identify the shape of the limit order book. As a result, it can be applied to the optimal execution problem.

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詳細情報 詳細情報について

  • CRID
    1050572512017417216
  • NII論文ID
    120007187422
  • NII書誌ID
    AN00061013
  • HANDLE
    2433/267840
  • ISSN
    18802818
  • 本文言語コード
    en
  • 資料種別
    departmental bulletin paper
  • データソース種別
    • IRDB
    • CiNii Articles

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