Arbitrage, Market Microstructure and the Limit Order Book

Editora:

KS OmniScriptum Publishing

Código:

491_9783838102627

Vendido e entregue por Um Livro

Sinopse
Características

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

Veja mais