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Showing 1 to 2 of 2 for “"market limit orders"”.
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Stochastic Stefan problems: existence, uniqueness, and modeling of market limit orders
… space. Moreover, we model the evolution of market limit orders in completely continuous settings using such equations, derive parameter estimation schemes using maximum likelihood and least mean-square-errors methods under certain criteria, and settle the investment optimization problem in …
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Three essays on the market microstructure of the Saudi stock market
Using data sets on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interaction between the order …