Simple model of a limit order-driven market

Abstract

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… (More)

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@inproceedings{Maslov2000SimpleMO, title={Simple model of a limit order-driven market}, author={Sergei Maslov}, year={2000} }