Number of the records: 1
Probabilistic properties of the continuous double auction - uniform case
- 1.0329700 - ÚTIA 2010 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
Probabilistic properties of the continuous double auction - uniform case.
[Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ.]
Proceedings of 27th International Conference Mathematical Methods in Economics 2009. Prague: Czech University of Life Sciences Prague, 2009 - (Brožová, H.), s. 317-322. ISBN 978-80-213-1963-9.
[27th International Conference Mathematical Methods in Economics 2009. Kostelec nad Černými lesy (CZ), 09.09.2009-11.09.2009]
R&D Projects: GA ČR GA402/07/1113; GA ČR GA402/09/0965; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * statistical inference
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2009/E/smid-probabilistic properties of the continuous double auction - uniform case.pdf
We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of /citet{Maslov00} and /citet{Smith03}. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, a procedure for statistical inference of the model may be designed and the evolution of the process may be simulated more efficiently then by the crude simulation of all the events.
Studujeme pravděpodobnostní propriety nula inteligentního modelu limitovaného nákupního trhu velmi podobného /citet{Maslov00} a /citet{Smith03}. Popisujeme distribuce nákupu knih na základě nejlepších nabídek. založeno na teoretických výsledcích a procedury statistických inferencí.
Permanent Link: http://hdl.handle.net/11104/0175662
Number of the records: 1