Probabilistic properties of the continuous double auction

Martin Šmíd

Kybernetika (2012)

  • Volume: 48, Issue: 1, page 50-82
  • ISSN: 0023-5954

Abstract

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In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).

How to cite

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Šmíd, Martin. "Probabilistic properties of the continuous double auction." Kybernetika 48.1 (2012): 50-82. <http://eudml.org/doc/247204>.

@article{Šmíd2012,
abstract = {In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).},
author = {Šmíd, Martin},
journal = {Kybernetika},
keywords = {continuous double auction; limit order market; distribution; continuous double auction; limit and market order; Poisson point process},
language = {eng},
number = {1},
pages = {50-82},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Probabilistic properties of the continuous double auction},
url = {http://eudml.org/doc/247204},
volume = {48},
year = {2012},
}

TY - JOUR
AU - Šmíd, Martin
TI - Probabilistic properties of the continuous double auction
JO - Kybernetika
PY - 2012
PB - Institute of Information Theory and Automation AS CR
VL - 48
IS - 1
SP - 50
EP - 82
AB - In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).
LA - eng
KW - continuous double auction; limit order market; distribution; continuous double auction; limit and market order; Poisson point process
UR - http://eudml.org/doc/247204
ER -

References

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  7. D. Pollard, A User's Guide to Measure Theoretic Probability., Cambridge Univ. Press, Cambridge 2002. (2002) Zbl0992.60001MR1873379
  8. M. Šmíd, On Approximation of Stochastic Programming Problems., PhD Thesis, Charles University, Department of Probability Statistics, 2004. (2004) 
  9. M. Šmíd, Price tails in the Smith and Farmer's model., Bull. Czech Econometric Soc. 25 (2008), 31-40. (2008) 
  10. M. Šmíd, Probabilistic Properties of the Continuous Double Auction., Research Report No. 2304. Institute of Information Theory and Automation, Prague 2011. (2011) MR2932928
  11. E. Smith, J. D. Farmer, L. Gillemot, S. Krishnamurthy, 10.1088/1469-7688/3/6/307, Quantitative Finance 3 (2003), 6, 481-514. (2003) MR2026575DOI10.1088/1469-7688/3/6/307

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