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By David Eliezer and Ian I. Kogan

Abstract

We propose a series of simple models for the microstructure of a double auction market without intermediaries. We specialize to those markets, such interdealer broker markets, which are dominated by professional traders, who trade mainly through limit orders, watch markets closely, and move their limit order prices frequently. We model these markets as a set of buyers and a set of sellers diffusing in price space and interacting through an annihilation interaction. We seek to compute the purely statistical effects of the presence of large numbers of traders, as scaling laws on various measures of liquidity, and to thi

Year: 1998
OAI identifier: oai:CiteSeerX.psu:10.1.1.305.5871
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