MATEC Web of Conferences
Volume 44, 20162016 International Conference on Electronic, Information and Computer Engineering
|Number of page(s)||4|
|Section||Electronics, Information and Engineering Application|
|Published online||08 March 2016|
Trading strategies of institutional investors in a limit order book market
Center of Management Decision Valuation Research, Jiangxi Normal University, Nanchang China
2 International Institute for Financial Research, Jiangxi Normal University, Nanchang, China
3 College of Finance, Jiangxi Normal University, Nanchang, China
a Corresponding author: email@example.com
The study aims to examine the trading strategies of institutional investors in limit order book market. The study modifies assumptions of prior studies [1,2] to match actual situations or facilitate calculations. First, to match actual situations or facilitate calculations. First, the investors’ objective in the study is profit maximization rather than minimization of trading costs. Second, time is continuous rather than discrete. Third, price impact functions are non-linear and take the quadratic form that features increasing prices. Study results indicate that institutional investors adopt the increasing trading strategy if the permanent price impact dominate whereas they adopt the decreasing trading strategy if the transient price impact dominates. In addition, the average trading strategy is adopted if and only if the permanent and transient price impacts are combined in some fixed proportions.
© Owned by the authors, published by EDP Sciences, 2016
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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