Screen Based Trading and Open Order Book
Screen Based Trading and Open Order Book: From One-Sided Order Execution to Two-Sided Order Matching
English | 2025 | ISBN: 303199051X | 197 Pages | PDF EPUB (True) | 12 MB
English | 2025 | ISBN: 303199051X | 197 Pages | PDF EPUB (True) | 12 MB
This book explores screen-based trading with an open order book, where traders' decisions influence others in real time via that open order book. Modelling traders’ actions using discrete choice, a method proven in other fields but new to finance, and the integration of discrete choice into a Markov Process, offers an innovative approach to understanding decision making under uncertainty. We call this combination "Doubly Stochastic Markov Process" (DSMP for short).