Optimal Strategies at a Limit Order Market

被引：0
|
作者：
Smid, Martin [1 ]
机构：
[1] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic
来源：
PROCEEDINGS OF THE 24TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2006 | 2006年
关键词：
limit order markets; optimal control; multistage decision problems; trading strategies; market microstructure;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We define a decision problem of an investor, trading continously at a limit, order market, maximizing a utility from his wealth at a random time horizon. We show that, in special cases (e.g. risk neutrality, quadratic or experiential utility function), the problem may be factorized and, given additional restrictions, it may even he. solved.
引用
收藏
页码：471 / 474
页数：4
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