ARBITRAGE-FREE LIMIT ORDER BOOKS AND THE PRICING OF ORDER FLOW RISK
作者： Bruce Lehmann
DOI: 10.3386/W13848
关键词: Capital asset pricing model 、 Consumption-based capital asset pricing model 、 Rational pricing 、 Economics 、 Fundamental theorem of asset pricing 、 Mathematical economics 、 Limit price 、 State prices 、 Arbitrage pricing theory 、 Investment theory 、 Microeconomics
摘要: This paper builds on the landmark contribution of Glosten (1994) by treating determination limit order supply schedules as an exercise in asset pricing theory with possible sizes incoming market orders value-relevant states nature, yielding analogue Fundamental Theorem Asset Pricing. State prices and price impact prove to be proportional slope book simple nonparametric semiparametric models for dynamics arise when flow risk is constant over time, providing a comprehensive coherent framework organizing data.
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