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Probabilistic properties of the continuous double auction - uniform case

SYSNO ASEP	0329700
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	Probabilistic properties of the continuous double auction - uniform case
Title	Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ
Author(s)	Šmíd, Martin (UTIA-B)_{RID, ORCID}
Source Title	Proceedings of 27th International Conference Mathematical Methods in Economics 2009. - Prague : Czech University of Life Sciences Prague, 2009 / Brožová Helena - ISBN 978-80-213-1963-9
Pages	s. 317-322
Number of pages	6 s.
Publication form	www - www
Action	27th International Conference Mathematical Methods in Economics 2009
Event date	09.09.2009-11.09.2009
VEvent location	Kostelec nad Černými lesy
Country	CZ - Czech Republic
Event type	CST
Language	eng - English
Country	CZ - Czech Republic
Keywords	continuous double auction ; limit order market ; statistical inference
Subject RIV	AH - Economics
R&D Projects	GA402/07/1113 GA ČR - Czech Science Foundation (CSF)
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	LC06075 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2010

Number of the records: 1