Journal article

Feedback and efficiency in limit order markets

  • Challet, Damien Institute for Scientific Interchange, Torino, Italy - Département de Physique, Université de Fribourg, Switzerland
    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... Show more…
Faculty
Faculté des sciences
Department
Physique
Language
  • English
Classification
Physics
License
License undefined
Identifiers
Persistent URL
https://folia.unifr.ch/unifr/documents/300630