Price Tails in the Smith and Farmer's Model

0314404 - ÚTIA 2009 RIV CZ eng J - Journal Article
Šmíd, Martin
Price Tails in the Smith and Farmer's Model.
[Chvosty rozdělení ceny v Smithově a Farmerově modelu.]
Bulletin of the Czech Econometric Society. Roč. 15, č. 25 (2008), s. 31-40. ISSN 1212-074X
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order market * continuous double auction * price increments * fat tails * tail exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/smid-price tails in the smith and farmer's model.pdf

We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out to the stabilizing role of the initial call auction.

Chvosty rozdělení ceny v Smithově a Farmerově modelu
Permanent Link: http://hdl.handle.net/11104/0164926