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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book - Softcover
Synopsis
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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About the Author
Jörg Osterrieder is a quantitative strategist at Goldman Sachs in London. Previously, he worked at Merrill Lynch. Dr. Osterrieder obtained a PhD in mathematics from ETH Zürich. He was scholar of numerous institutions, among them the German National Merit Foundation. His current work focuses on market microstructure and algorithmic trading.
"About this title" may belong to another edition of this title.
- PublisherSuedwestdeutscher Verlag fuer Hochschulschriften
- Publication date2009
- ISBN 10 3838102622
- ISBN 13 9783838102627
- BindingPaperback
- Number of pages176
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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
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ISBN 10: 3838102622
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Arbitrage, market microstructure and the limit order book Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
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Arbitrage; Market Microstructure and the Limit Order Book
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Südwestdeutscher Verlag für Hochschulschriften, 2009
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ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 176 pp. Deutsch. Seller Inventory # 9783838102627
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Arbitrage, Market Microstructure and the Limit Order Book
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ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
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Suedwestdeutscher Verlag fuer Hochschulschriften, 2009
ISBN 10: 3838102622
ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
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ISBN 10: 3838102622
ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
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Suedwestdeutscher Verlag fuer Hochschulschriften, 2009
ISBN 10: 3838102622
ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
Published by
Suedwestdeutscher Verlag fuer Hochschulschriften, 2009
ISBN 10: 3838102622
ISBN 13: 9783838102627
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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
Published by
Suedwestdeutscher Verlag fuer Hochschulschriften, 2009
ISBN 10: 3838102622
ISBN 13: 9783838102627
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