Probabilistic properties of the continuous double auction

0372702 - ÚTIA 2012 RIV CZ eng J - Journal Article
Šmíd, Martin
Probabilistic properties of the continuous double auction.
Kybernetika. Roč. 48, č. 1 (2012), s. 50-82. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.619, year: 2012
http://library.utia.cas.cz/separaty/2012/E/smid-0372702.pdf

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).
Permanent Link: http://hdl.handle.net/11104/0205955