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Arbitrage-free limit order books and the pricing of order flow risk

Author: Bruce Neal Lehmann; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2008.
Series: Working paper series (National Bureau of Economic Research), no. 13848.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental Theorem of Asset Pricing. State prices and price impact prove to be proportional to the slope of the book and simple  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Bruce Neal Lehmann; National Bureau of Economic Research.
OCLC Number: 213392879
Notes: "March 2008."
Description: 1 online resource (54 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 13848.
Responsibility: Bruce Lehmann.

Abstract:

This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental Theorem of Asset Pricing. State prices and price impact prove to be proportional to the slope of the book and simple nonparametric and semiparametric models for limit order book dynamics arise when the price of order flow risk is constant over time, providing a comprehensive and coherent framework for organizing limit order book data.

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