| Title:
|
Probabilistic properties of the continuous double auction (English) |
| Author:
|
Šmíd, Martin |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
48 |
| Issue:
|
1 |
| Year:
|
2012 |
| Pages:
|
50-82 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
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). (English) |
| Keyword:
|
continuous double auction |
| Keyword:
|
limit order market |
| Keyword:
|
distribution |
| MSC:
|
91G80 |
| idZBL:
|
Zbl 06050644 |
| idMR:
|
MR2932928 |
| . |
| Date available:
|
2012-03-05T08:29:58Z |
| Last updated:
|
2013-09-22 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/142063 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
|
[3] O. Kallenberg: Foundations of Modern Probability..Second edition. Springer, New York 2002. Zbl 0996.60001, MR 1876169 |
| Reference:
|
[4] H. Luckock: A steady-state model of the continuous double auction..Quantitative Finance 3 (2003), 385-404. MR 2015235, 10.1088/1469-7688/3/5/305 |
| Reference:
|
[5] S. Maslov: Simple model of a limit order driven market..Physica A 278 (2000), 571-578. 10.1016/S0378-4371(00)00067-4 |
| Reference:
|
[6] S. Mike, J. D. Farmer: An empirical behavioral model of liquidity and volatility..J. Econom. Dynamics Control 32 (2008), 200-234. 10.1016/j.jedc.2007.01.025 |
| Reference:
|
[7] D. Pollard: A User's Guide to Measure Theoretic Probability..Cambridge Univ. Press, Cambridge 2002. Zbl 0992.60001, MR 1873379 |
| Reference:
|
[8] M. Šmíd: On Approximation of Stochastic Programming Problems..PhD Thesis, Charles University, Department of Probability Statistics, 2004. |
| Reference:
|
[9] M. Šmíd: Price tails in the Smith and Farmer's model..Bull. Czech Econometric Soc. 25 (2008), 31-40. |
| Reference:
|
[10] M. Šmíd: Probabilistic Properties of the Continuous Double Auction..Research Report No. 2304. Institute of Information Theory and Automation, Prague 2011. MR 2932928 |
| Reference:
|
[11] E. Smith, J. D. Farmer, L. Gillemot, S. Krishnamurthy: Statistical theory of the continuous double auction..Quantitative Finance 3 (2003), 6, 481-514. MR 2026575, 10.1088/1469-7688/3/6/307 |
| . |
