限价委托是效用最大化问题及限价委托价格幂律分布的起源
Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
摘要：
我考虑的问题的最优限价令价格的金融资产的投资者的效用函数的最大化的框架。问题的解析解给出了洞察力的起源最近经验观察到的幂律分布的限价订单价格。在该模型的框架内，这种幂律的最可能的直接原因是交易者投资时间范围的幂律异质性。
英文摘要：
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power law is a power law heterogeneity of traders' investment time horizons .
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
