Probabilistic properties of the continuous double auction

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SYSNO ASEP	0372702
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Probabilistic properties of the continuous double auction
Author(s)	Šmíd, Martin (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	Kybernetika. - : Ústav teorie informace a automatizace AV ČR, v. v. i. - ISSN 0023-5954 Roč. 48, č. 1 (2012), s. 50-82
Number of pages	33 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	continuous double auction ; limit order market ; distribution
Subject RIV	BB - Applied Statistics, Operational Research
R&D Projects	GAP402/10/1610 GA ČR - Czech Science Foundation (CSF)
	GAP402/10/0956 GA ČR - Czech Science Foundation (CSF)
	GA402/06/1417 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000301269800004
EID SCOPUS	84858022366
Annotation	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).
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1