{
  "annotation_id": "c9e0d872-32eb-4b17-bf96-4ac4463c684b",
  "date_created": "2026-03-02T18:01:14.971000Z",
  "date_modified": "2026-03-02T18:01:14.971000Z",
  "file_hash": "e2a8e4085371391d7197d478c4619821a92f7105b2e0eeab96013c7d2ea800ef",
  "private": false,
  "record": {
    "abstract": "I consider the problem of the optimal limit order price of a financial asset\nin the framework of the maximization of the utility function of the investor.\nThe analytical solution of the problem gives insight on the origin of the\nrecently empirically observed power law distribution of limit order prices. In\nthe framework of the model, the most likely proximate cause of this power law\nis a power law heterogeneity of traders\u0027 investment time horizons .",
    "arxiv_id": "physics/0612016",
    "authors": [
      "Fabrizio Lillo"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.TR"
    ],
    "doi": "10.1140/epjb/e2007-00067-9",
    "title": "Limit order placement as an utility maximization problem and the origin   of power law distribution of limit order prices",
    "url": "https://arxiv.org/abs/physics/0612016"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "49efa7de-8f23-428e-991a-db47b8280481",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}