Trading strategies of institutional investors in a limit order book market
The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations. First, to match actual situations or facilitate calculations. First, the investors’ obj...
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2016-01-01
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Online Access: | http://dx.doi.org/10.1051/matecconf/20164402062 |
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doaj-254c1319bfb949939545935e22656d1f2021-02-02T00:11:55ZengEDP SciencesMATEC Web of Conferences2261-236X2016-01-01440206210.1051/matecconf/20164402062matecconf_iceice2016_02062Trading strategies of institutional investors in a limit order book marketchen NaiweiPeng MingxuThe study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations. First, to match actual situations or facilitate calculations. First, the investors’ objective in the study is profit maximization rather than minimization of trading costs. Second, time is continuous rather than discrete. Third, price impact functions are non-linear and take the quadratic form that features increasing prices. Study results indicate that institutional investors adopt the increasing trading strategy if the permanent price impact dominate whereas they adopt the decreasing trading strategy if the transient price impact dominates. In addition, the average trading strategy is adopted if and only if the permanent and transient price impacts are combined in some fixed proportions.http://dx.doi.org/10.1051/matecconf/20164402062 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
chen Naiwei Peng Mingxu |
spellingShingle |
chen Naiwei Peng Mingxu Trading strategies of institutional investors in a limit order book market MATEC Web of Conferences |
author_facet |
chen Naiwei Peng Mingxu |
author_sort |
chen Naiwei |
title |
Trading strategies of institutional investors in a limit order book market |
title_short |
Trading strategies of institutional investors in a limit order book market |
title_full |
Trading strategies of institutional investors in a limit order book market |
title_fullStr |
Trading strategies of institutional investors in a limit order book market |
title_full_unstemmed |
Trading strategies of institutional investors in a limit order book market |
title_sort |
trading strategies of institutional investors in a limit order book market |
publisher |
EDP Sciences |
series |
MATEC Web of Conferences |
issn |
2261-236X |
publishDate |
2016-01-01 |
description |
The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations. First, to match actual situations or facilitate calculations. First, the investors’ objective in the study is profit maximization rather than minimization of trading costs. Second, time is continuous rather than discrete. Third, price impact functions are non-linear and take the quadratic form that features increasing prices. Study results indicate that institutional investors adopt the increasing trading strategy if the permanent price impact dominate whereas they adopt the decreasing trading strategy if the transient price impact dominates. In addition, the average trading strategy is adopted if and only if the permanent and transient price impacts are combined in some fixed proportions. |
url |
http://dx.doi.org/10.1051/matecconf/20164402062 |
work_keys_str_mv |
AT chennaiwei tradingstrategiesofinstitutionalinvestorsinalimitorderbookmarket AT pengmingxu tradingstrategiesofinstitutionalinvestorsinalimitorderbookmarket |
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1724314269065936896 |