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

Christoph Kühn and Maximilian Stroh

Stochastic Processes and their Applications, 2013, vol. 123, issue 6, 2011-2053

Abstract: We provide a mathematical framework to model continuous time trading of a small investor in limit order markets. We show how elementary strategies can be extended in a suitable way to general continuous time strategies containing orders with infinitely many different limit prices. The general limit buy order strategies are predictable processes with values in the set of nonincreasing demand functions. It turns out that our strategy set of limit and market orders is closed, but limit orders can turn into market orders when passing to the limit, and any element can be approximated by a sequence of elementary strategies.

Keywords: Limit order markets; Trading strategies; Random measures (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414913000367
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2013.01.017

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().