Optimal Trading in a Limit Order Book Using Linear Strategies
Abstract
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs that trade sequentially in random order under time constraints and are not aware of the type of the other agents in their session. We assume that they submit limit orders using a simple linear function of the current best quotes (ask and bid). In equilibrium,...
Paper Details
Title
Optimal Trading in a Limit Order Book Using Linear Strategies
Published Date
Jan 1, 2011
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