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Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book - Softcover
Reseña del editor
In the first part we study arbitrage opportunities in diverse markets. The construction of such markets is based on an absolutely continuous but non-equivalent measure change which implies the existence of instantaneous arbitrage opportunities. In the second part, we look at a model for the limit order book. Here we deal with the issue of how to construct a framework for order arrival, storage, cancellation and execution. It turns out that the limit order book will be the difference of two doubly stochastic Poisson processes at every point in time. We investigate properties of the bid-ask spread, a new type of options, the average order book in the long-run as well as cancellation of orders using ideas from queuing theory. Finally, we also look at an extension to a large trader model. The third part deals with a dynamic market microstructure model, in which a strategic market maker competes with an informed trader. We include the presence of noise traders and limit order traders in our setup. The resulting recursive equations lead to various economic interpretations. Our framework is general enough to obtain several well-known models in a straightforward way.
Biografía del autor
Jörg Osterrieder is a quantitative strategist at Goldman Sachs in London. Previously, he worked at Merrill Lynch. Dr. Osterrieder obtained a PhD in mathematics from ETH Zürich. He was scholar of numerous institutions, among them the German National Merit Foundation. His current work focuses on market microstructure and algorithmic trading.
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- VerlagSuedwestdeutscher Verlag fuer Hochschulschriften
- Erscheinungsdatum2009
- ISBN 10 3838102622
- ISBN 13 9783838102627
- EinbandTapa blanda
- SpracheEnglisch
- Anzahl der Seiten176
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Arbitrage, market microstructure and the limit order book | Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
Verlag:
Südwestdeutscher Verlag für Hochschulschriften, 2009
ISBN 10: 3838102622
ISBN 13: 9783838102627
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Taschenbuch. Zustand: Neu. Arbitrage, market microstructure and the limit order book | Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book | Jörg Osterrieder | Taschenbuch | Paperback | 176 S. | Deutsch | 2009 | Südwestdeutscher Verlag für Hochschulschriften | EAN 9783838102627 | Verantwortliche Person für die EU: Südwestdt. Verl. f. Hochschulschrift., Brivibas Gatve 197, 1039 RIGA, LETTLAND, customerservice[at]vdm-vsg[dot]de | Anbieter: preigu. Artikel-Nr. 101550991
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