Arbitrage, Market Microstructure and the Limit Order Book

Name: Arbitrage, Market Microstructure and the Limit Order Book
Brand: Sudwestdeutscher Verlag Fur Hochschulschriften AG
SKU: 9783838102627
Price: 361.88 RON
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Autor: Jörg Osterrieder

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Editura: Sudwestdeutscher Verlag Fur Hochschulschriften AG

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In the first part we study arbitrage opportunities in§diverse markets. The construction of such mark...

Informații despre carte

Autor

Jörg Osterrieder

Limbă

germană

Legare

Carte - Carte broșată

Publicat

2009

Pagini

176

EAN

9783838102627

ISBN

3838102622

Enbook ID

07036986

Editura

Sudwestdeutscher Verlag Fur Hochschulschriften AG

Greutate

245

Dimensiuni

152 x 229 x 10

Descriere completă

In the first part we study arbitrage opportunities in§diverse markets. The construction of such markets is§based on an absolutely continuous but non-equivalent§measure change which implies the existence of§instantaneous arbitrage opportunities. §In the second part, we look at a model for the limit§order book. Here we deal with the issue of how to§construct a framework for order arrival, storage,§cancellation and execution. It turns out that the§limit order book will be the difference of two doubly§stochastic Poisson processes at every point in time.§We investigate properties of the bid-ask spread, a§new type of options, the average order book in the§long-run as well as cancellation of orders using§ideas from queuing theory. Finally, we also look at§an extension to a large trader model.§The third part deals with a dynamic market§microstructure model, in which a strategic market§maker competes with an informed trader. We include§the presence of noise traders and limit order traders§in our setup. The resulting recursive equations lead§to various economic interpretations. Our framework is§general enough to obtain several well-known models in§a straightforward way.

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Arbitrage, Market Microstructure and the Limit Order Book

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