Original title: Markov Equilibrium between High Frequency Traders
Authors: Šmíd, Martin
Document type: Papers
Conference/Event: International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./, Ostrava (CZ), 2014-09-08 / 2014-09-09
Year: 2014
Language: eng
Abstract: 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.
Keywords: limit order market; Markov property; optimal trading
Project no.: GBP402/12/G097 (CEP), CZ.1.07/2.3.00/20.0296
Funding provider: GA ČR, European Social Fund
Host item entry: International Scientific Conference Managing and Modelling of Financial Risks, ISBN 978-80-248-3631-7

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2014/E/smid-0433571.pdf
Original record: http://hdl.handle.net/11104/0237773

Permalink: http://www.nusl.cz/ntk/nusl-175739


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Conference materials > Papers