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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 - Couverture souple

Osterrieder, Jörg

 
9783838102627: Arbitrage, market microstructure and the limit order book: Arbitrage opportunities in diverse markets, market microstructure aspects and a model of the limit order book
Couverture souple
ISBN 10 : 3838102622 ISBN 13 : 9783838102627
Editeur : Suedwestdeutscher Verlag fuer Hochschulschriften, 2009

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Biographie de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Suedwestdeutscher Verlag fuer Hochschulschriften
Date d'édition
2009
Langue
anglais
ISBN 10 
3838102622
ISBN 13 
9783838102627
Reliure
Broché
Nombre de pages
176
Coordonnées du fabricant
non disponible
Personne responsable
non disponible