Institute of Information Theory and Automation

You are here

Publication details

On Uselessness of Limit Orders

Journal Article

Šmíd Martin


serial: Bulletin of the Czech Econometric Society vol.2007, 24 (2007), p. 45-57

research: CEZ:AV0Z10750506

project(s): GD402/03/H057, GA ČR, GA402/07/1113, GA ČR, GA402/06/1417, GA ČR

keywords: market microstructure, limit order market, portfolio selection

abstract (eng):

We examine the continuous time portfolio selection problem involving limit orders. We show that this problem reduces to the problem without limit orders given that the investor trades continuously.

abstract (cze):

V práci je zkoumána úloha výběru portfolia na trhu s limitními objednávkami ve spojitém čase. Je ukázáno, že pokud je dovoleno obchodovat v libovolném čase, tato úloha se redukuje na odpovícající úlohu bez limitních objednávek.

RIV: AH

2012-12-21 16:10