Feedback and efficiency in limit order markets
- Challet, Damien Institute for Scientific Interchange, Torino, Italy - Département de Physique, Université de Fribourg, Switzerland
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26.01.2008
Published in:
- Physica A: Statistical Mechanics and its Applications. - 2008, vol. 387, no. 15, p. 3831-3836
English
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact functions.
- Faculty
- Faculté des sciences et de médecine
- Department
- Département de Physique
- Language
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- English
- Classification
- Physics
- License
- License undefined
- Identifiers
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- RERO DOC 9312
- DOI 10.1016/j.physa.2008.01.086
- Persistent URL
- https://folia.unifr.ch/unifr/documents/300630
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