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You searched for subject:(Limit orders). Showing records 1 – 3 of 3 total matches.

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Penn State University

1. Liao, Mouhua. Models of Strategic and Pairwise Trade.

Degree: 2012, Penn State University

This dissertation consists of three chapters. In Chapter 1, a new type of market game is formulated: the strategy space generalizes the usual Cournot quantities with limit prices. Under mild market-thickness conditions, symmetric Nash equilibria coincide with price-taking equilibria. In the case of two goods, a price-taking equilibrium is a Walrasian equilibrium. In the case of multiple goods, a price-taking equilibrium is competitive, but subject to a cash-in-advance constraint. Chapter 2 considers periodic, complete-participation trade in the Lagos-Rocheteau (Econometrica, 2009) Mode. Lagos-Rocheteau is part of the literature that applies a search model to asset trade in the over-the-counter market. The only friction in their model is a cost of agents getting into contact with other agents. Therefore, as an alternative to their investor-dealer random meetings, a centralized competitive market which occurs periodically is studied. This arrangement preserves the main tension in their paper: a tradeoff between a portfolio that maximizes current utility and one that is good on average. For calibrated versions of the model, it is shown that this market must occur only infrequently in order for investors to be as well off as they in the Lagos-Rocheteau setup. In Chapter 3, employment agents (called as em-agents) are introduced as a third type of agent in world of a labor market with search frictions. Each type of agent matches pairwise with the other two types through two independent matching processes. Each process depends on the ratio of the agent's own type to the other type in the match ( market tightness). Job matches can be formed directly between a worker and a firm, or indirectly through an em-agent. It is shown that there is a unique steady-state equilibrium in which em-agents are active. The presence of em-agents enhances the welfare of workers. More generally, the welfare of workers decreases as the outside option of em-agents or firms increases. When job matches are heterogeneous in productivity, jobs filled through em-agents have higher average productivity than ones done directly. Advisors/Committee Members: Neil Wallace, Dissertation Advisor/Co-Advisor, Neil Wallace, Committee Chair/Co-Chair, Edward James Green, Committee Member, James Schuyler Jordan, Committee Member, Anthony Mark Kwasnica, Committee Member.

Subjects/Keywords: Market game; Limit orders; Nash equilibrium; Walras equilibrium; OTC market; Periodic market; Random search; Middlemen

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APA (6th Edition):

Liao, M. (2012). Models of Strategic and Pairwise Trade. (Thesis). Penn State University. Retrieved from https://submit-etda.libraries.psu.edu/catalog/15119

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Liao, Mouhua. “Models of Strategic and Pairwise Trade.” 2012. Thesis, Penn State University. Accessed October 01, 2020. https://submit-etda.libraries.psu.edu/catalog/15119.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Liao, Mouhua. “Models of Strategic and Pairwise Trade.” 2012. Web. 01 Oct 2020.

Vancouver:

Liao M. Models of Strategic and Pairwise Trade. [Internet] [Thesis]. Penn State University; 2012. [cited 2020 Oct 01]. Available from: https://submit-etda.libraries.psu.edu/catalog/15119.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Liao M. Models of Strategic and Pairwise Trade. [Thesis]. Penn State University; 2012. Available from: https://submit-etda.libraries.psu.edu/catalog/15119

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of St. Andrews

2. Faciane, Kirby. Empirical market microstructure of the FTSEurofirst index futures .

Degree: 2010, University of St. Andrews

This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure. Advisors/Committee Members: Bhattacharjee, Arnab (advisor).

Subjects/Keywords: Market microstructure; Index futures; Market making; Designated market makers; Euronext.liffe; FTSEurofirst Index; Intraday analysis; Bid-ask spread components; Limit orders; Market orders

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Faciane, K. (2010). Empirical market microstructure of the FTSEurofirst index futures . (Thesis). University of St. Andrews. Retrieved from http://hdl.handle.net/10023/1975

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Faciane, Kirby. “Empirical market microstructure of the FTSEurofirst index futures .” 2010. Thesis, University of St. Andrews. Accessed October 01, 2020. http://hdl.handle.net/10023/1975.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Faciane, Kirby. “Empirical market microstructure of the FTSEurofirst index futures .” 2010. Web. 01 Oct 2020.

Vancouver:

Faciane K. Empirical market microstructure of the FTSEurofirst index futures . [Internet] [Thesis]. University of St. Andrews; 2010. [cited 2020 Oct 01]. Available from: http://hdl.handle.net/10023/1975.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Faciane K. Empirical market microstructure of the FTSEurofirst index futures . [Thesis]. University of St. Andrews; 2010. Available from: http://hdl.handle.net/10023/1975

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

3. Zheng, Zhi. Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders.

Degree: PhD, 0439, 2013, University of Illinois – Urbana-Champaign

In this thesis we study the effect of stochastic perturbations on moving boundary value PDE's with Stefan boundary conditions, or Stefan problems, and show the existence and uniqueness of the solutions to a number of stochastic equations of this kind. We also derive the space and time regularities of the solutions and the associated boundaries via Kolmogorov's Continuity Theorem in a defined normed space. Moreover, we model the evolution of market limit orders in completely continuous settings using such equations, derive parameter estimation schemes using maximum likelihood and least mean-square-errors methods under certain criteria, and settle the investment optimization problem in both static and dynamic sense when taking the model as exogenous. Advisors/Committee Members: Sowers, Richard B. (advisor), DeVille, Robert E. (Committee Chair), Sowers, Richard B. (committee member), Zharnitsky, Vadim (committee member), Rapti, Zoi (committee member).

Subjects/Keywords: stochastic partial differential equations (PDEs); moving boundaries; market limit orders; parameter estimation; Maximum-Likelihood Estimator (MLE); Mean-Square Errors (MSE); Akaike information criterion (AIC); investment optimization; dynamic optimization

…Investment Optimization via Limit Orders… …model the evolution of market limit orders in completely continuous settings using such… …the modeling of the dynamics of limit orders. 1.3 Modeling of Market Limit Orders As an… …application of the mathematical results, in Chapter 5 we model the evolution of market limit orders… …been researches on the modeling of market limit orders and their execution such as [8… 

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zheng, Z. (2013). Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/42335

Chicago Manual of Style (16th Edition):

Zheng, Zhi. “Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders.” 2013. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed October 01, 2020. http://hdl.handle.net/2142/42335.

MLA Handbook (7th Edition):

Zheng, Zhi. “Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders.” 2013. Web. 01 Oct 2020.

Vancouver:

Zheng Z. Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2013. [cited 2020 Oct 01]. Available from: http://hdl.handle.net/2142/42335.

Council of Science Editors:

Zheng Z. Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2013. Available from: http://hdl.handle.net/2142/42335

.