• Corpus ID: 250280009

A cross-border market model with limited transmission capacities

@inproceedings{Milbradt2022ACM,
  title={A cross-border market model with limited transmission capacities},
  author={Cassandra Milbradt and D{\"o}rte Kreher},
  year={2022}
}
We develop a cross-border market model between two countries in which the transmission capacities that enable transactions between market participants of different countries are limited. Starting from two so-called reduced-form representations of national limit order book dynamics, we allow incoming market orders to be matched with standing volumes of the foreign market, resulting in cross-border trades. We introduce a microscopic model that consists of two bid and ask price processes, four… 

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