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Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

F. Lillo

Eur. Phys. J. B, 55 4 (2007) 453-459

DOI: https://doi.org/10.1140/epjb/e2007-00067-9

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EPJ A Topical Collection devoted to the legacy of Peter Schuck
EPJ A Topical Collection: Radiative Corrections: From Medium to High Energy Experiments
EPJ A Topical Collection: Short-Range Correlations and the EMC Effect
EPJ A Topical Issue: Heavy and Super-Heavy Nuclei and Elements: Production and Properties
EPJ B Topical Issue: Extreme Value Statistics and Search in Biology: Theory and Simulations
EPJ D Topical Issue: Electron and Positron Interactions and Their Applications: a tribute to Professor Michael Brunger
EPJ D Topical Issue: Dynamics and Photodynamics: from isolated molecules to the condensed phase
EPJ D Topical Issue: Quantum Walks and applications
EPJ E Topical Issue: 50 years of Small Angle Neutron Scattering at the ILL in Grenoble
EPJ E Topical Issue: Festschrift in honor of Philip (Fyl) Pincus
EPJ E Topical Issue: Novel Molecular Materials and Devices from Functional Soft Matter
EPJ H Special Issue: History for Physics: Contextualizing modern developments in the foundations of quantum theory
EPJ Plus Focus Point Issue: Advances in cryogenic detectors for dark matter, neutrino physics and astrophysics
EPJ Plus Focus Point Issue: Citizen science for physics: From Education and Outreach to Crowdsourcing fundamental research
EPJ Plus Focus Point Issue: Focus Point on Higher Derivatives in Quantum Gravity: Theory, Tests, Phenomenology
EPJ Plus Focus Point Issue: The Magic of Glass
EPJ Quantum Technology - Open Calls for Papers
EPJ ST Special Issue Celestial Mechanics: new discoveries and challenges for space exploration
EPJ ST Special Issue: Application of Fractional-Calculus in Physical Systems
EPJ ST Special Issue: Machine Learning for quantum many-body systems
EPJ ST Special Issue: Molecular and Cellular Mechanics
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