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Are Limit Orders Rational?

Je racionální používat limitní objednávky?

Martin Šmíd

Acta Oeconomica Pragensia, 2007, vol. 2007, issue 4, 32-38

Abstract: We examine whether it is rational to put limit orders in a limit order market. We find that limit orders are not needed and may be even disadvantageous given that the agent trades on-line. Further, we present a numerical study indicating that putting limit orders may be optimal given that the agent trades at discrete times but the benefit from using them in comparison with immediate buying and selling is negligible.

Keywords: market microstructure; limit order market; portfolio selection (search for similar items in EconPapers)
JEL-codes: C51 G10 (search for similar items in EconPapers)
Date: 2007
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Redakce Acta Oeconomica Pragensia, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3

DOI: 10.18267/j.aop.71

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Handle: RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:71:p:32-38