Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

European Physical Journal B

Volumn 55, Issue 4, 2007, Pages 453-459

  Lillo, F ^a,b  

^a UNIVERSITY OF PALERMO   (Italy)

^b SANTA FE INSTITUTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

LIMIT ORDER PLACEMENT; POWER LAW DISTRIBUTION; UTILITY FUNCTIONS; UTILITY MAXIMIZATION;

COSTS; FUNCTIONS; INVESTMENTS; PROBLEM SOLVING;

ASSET MANAGEMENT;

EID: 33947531111     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2007-00067-9     Document Type: Article

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