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  • We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents.
  • We model an optimal behaviour of a finite number of (perhaps high frequency) traders at a limit order market with a instrument possibly paying dividends. The traders are assumed to trade continuously and to maximize their discounted consumption while keeping the probability of near-bankruptcy states at a prescribed level. The latency times, ie., the delays between the order submissions and the corresponding order books' changes, are taken into account. We show that the process describing the market is Markov given the largest among information sets of the agents. (en)
Title
  • Markov Equilibrium between High Frequency Traders
  • Markov Equilibrium between High Frequency Traders (en)
skos:prefLabel
  • Markov Equilibrium between High Frequency Traders
  • Markov Equilibrium between High Frequency Traders (en)
skos:notation
  • RIV/67985556:_____/14:00433571!RIV15-GA0-67985556
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • I, P(GBP402/12/G097)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
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  • 27460
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/14:00433571
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  • limit order market; Markov property; optimal trading (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [411232E2D35C]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
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  • International Scientific Conference Managing and Modelling of Financial Risks
http://linked.open...in/vavai/riv/obor
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
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  • Šmíd, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-3631-7
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