A Linear Smoothing Property of a Futures Limit Order Book

Empirical cumulative numbers of futures contracts in orders corresponding to bid and ask prices in a limit order book linearly depend on price indexes. Influence of this effect on profits and losses is considered

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Year of publication:	2019
Authors:	Salov, Valerii
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Wertpapierhandel \| Securities trading \| Theorie \| Theory \| Derivat \| Derivative

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 18, 2019 erstellt
Other identifiers:	10.2139/ssrn.3337345 [DOI]
Classification:	G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012892478