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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Main Authors: chen Naiwei, Peng Mingxu
Format: Article
Language:English
Published: EDP Sciences 2016-01-01
Series:MATEC Web of Conferences
Online Access:http://dx.doi.org/10.1051/matecconf/20164402062
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spelling 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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