- 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 ...
Expand abstract - Publisher copy:
- 10.1007/s11579-012-0082-5
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
- Journal:
- Mathematics and Financial Economics
- Volume:
- 6
- Issue:
- 3
- Pages:
- 211-227
- Publication date:
- 2012-06-05
- DOI:
- EISSN:
-
1862-9660
- ISSN:
-
1862-9679
- URN:
-
uuid:468e0d9b-810a-4182-a916-7316442e684a
- Source identifiers:
-
351082
- Local pid:
- pubs:351082
- Language:
- English
- Keywords:
- Copyright date:
- 2012
Journal article
A limit order book model for latency arbitrage
Actions
Access Document
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Bibliographic Details
Item Description
Terms of use
If you are the owner of this record, you can report an update to it here: Report update to this record