Feedback and efficiency in limit order markets

A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are essential to ensure consistency at the smallest time scale. All the stocks investigated in Paris Stock Exchange have consistent price impact functions.

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Year of publication:	2008
Authors:	Challet, Damien
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 15, p. 3831-3836
Publisher:	Elsevier
Subject:	Limit order markets \| Efficiency \| Arbitrage \| Feedback \| Data analysis \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010873081