Order books, markets and convex analysis. (3rd August 2017)
- Record Type:
- Journal Article
- Title:
- Order books, markets and convex analysis. (3rd August 2017)
- Main Title:
- Order books, markets and convex analysis
- Authors:
- Flåm, Sjur Didrik
- Abstract:
- Abstract: This paper considers how an order market might evolve over a fairly short period – say, during a day. It uses elementary convex analysis to model agents' choice of prudent orders, and it explores whether equilibrium is attainable.
- Is Part Of:
- Optimization. Volume 66:Number 8(2017)
- Journal:
- Optimization
- Issue:
- Volume 66:Number 8(2017)
- Issue Display:
- Volume 66, Issue 8 (2017)
- Year:
- 2017
- Volume:
- 66
- Issue:
- 8
- Issue Sort Value:
- 2017-0066-0008-0000
- Page Start:
- 1413
- Page End:
- 1424
- Publication Date:
- 2017-08-03
- Subjects:
- Market microstructure -- order books -- equilibrium -- convergence -- transaction cost
Mathematical optimization -- Periodicals
519.7 - Journal URLs:
- http://www.tandfonline.com/toc/gopt20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/02331934.2016.1257008 ↗
- Languages:
- English
- ISSNs:
- 0233-1934
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 6275.100000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 1175.xml