Journal article
A limit order book model for latency arbitrage
- Abstract:
-
We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can preempt the slower investor, we show that this allows the fast trader to obtain risk free profits, but that these profits cannot be scaled. We derive the fast trader's optimal behaviour when she has only distributional knowledge of the slow trader's actions, with few restrictions on the possible prior distributions. We also consider the slower ...
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- Publisher copy:
- 10.1007/s11579-012-0082-5
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Authors
Bibliographic Details
- Journal:
- Mathematics and Financial Economics
- Volume:
- 6
- Issue:
- 3
- Pages:
- 211-227
- Publication date:
- 2012-06-01
- DOI:
- EISSN:
-
1862-9660
- ISSN:
-
1862-9679
- Source identifiers:
-
351082
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:351082
- UUID:
-
uuid:468e0d9b-810a-4182-a916-7316442e684a
- Local pid:
- pubs:351082
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2012
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