Simple model of a limit order-driven market

@inproceedings{Maslov2000SimpleMO,
  title={Simple model of a limit order-driven market},
  author={Sergei Maslov},
  year={2000}
}
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade stock (or any other risky asset for that matter) at the market price or place a limit order, i.e., an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a prede ned level. The choice between these two options is purely random (there are no strategies involved), and the execution price of a limit order is determined simply by o setting the most… CONTINUE READING
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