Journal article icon

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 ...

Expand abstract

Actions


Access Document


Publisher copy:
10.1007/s11579-012-0082-5

Authors


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
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


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP