Search results
- 1.0496577 - ÚTIA 2019 RIV GB eng J - Journal Article
Peržina, V. - Swart, Jan M.
How much market making does a market need?
Journal of Applied Probability. Roč. 55, č. 3 (2018), s. 667-681. ISSN 0021-9002. E-ISSN 1475-6072
R&D Projects: GA ČR(CZ) GA15-08819S
Institutional support: RVO:67985556
Keywords : continuous double auction * limit order book * Stigler-Luckock model * rank-based Markov chain
OECD category: Pure mathematics
Impact factor: 0.610, year: 2018
http://library.utia.cas.cz/separaty/2018/SI/swart-0496577.pdf
Permanent Link: http://hdl.handle.net/11104/0289345 - 2.0490719 - ÚTIA 2019 RIV US eng J - Journal Article
Swart, Jan M.
Rigorous results for the Stigler-Luckock model for the evolution of an order book.
Annals of Applied Probability. Roč. 28, č. 3 (2018), s. 1491-1535. ISSN 1050-5164
R&D Projects: GA ČR(CZ) GA16-15238S; GA ČR GAP201/12/2613
Institutional support: RVO:67985556
Keywords : Continuous double auction * order book * rank-based Markov chain * self-organized criticality * Stigler-Luckock model * market microstructure
OECD category: Pure mathematics
Impact factor: 1.703, year: 2018
http://library.utia.cas.cz/separaty/2018/SI/swart-0490719.pdf
Permanent Link: http://hdl.handle.net/11104/0285272 - 3.0411421 - ÚTIA 2010 RIV CZ eng C - Conference Paper (international conference)
Šmíd, Martin
Forecasting in continuous double auction.
[Predpovídání ve dvojité aukci se spojitým časem.]
Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005. Hradec Kralové: Gaudeamus, 2005 - (Skalská, H.), s. 358-363. ISBN 978-80-7041-535-1.
[Mathematical Methods in Economics 2005 /23./. Hradec Králové (CZ), 14.09.2005-16.09.2005]
R&D Projects: GA ČR GA402/04/1294; GA ČR GD402/03/H057
Grant - others:GA UK(CZ) 454/2004/AEK/FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order markets * continuous double auction * price and volume
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131503 - 4.0411374 - UTIA-B 20050104 CZ eng V - Research Report
Šmíd, Martin
Forecasting in Continuous Double Auction.
Praha: ÚTIA AV ČR, 2005. 19 s. Research Report, 2128.
R&D Projects: GA ČR GA402/03/H057; GA ČR GA402/04/1294
Grant - others:GA UK(CZ) 454/2004/A EK/FSV
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order markets * continuous double auction * price and volume
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0131456 - 5.0411307 - UTIA-B 20050035 CZ eng V - Research Report
Šmíd, Martin
Conditional Distribution of the Limit Order Book Given the History of the Best Quote Process.
Praha: ÚTIA AV ČR, 2005. 19 s. Research Report, 2126.
R&D Projects: GA ČR GA402/04/1294; GA ČR GA402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order markets * continuous double auction * limit order book
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0131390 - 6.0372702 - 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
Permanent Link: http://hdl.handle.net/11104/0205955File Download Size Commentary Version Access 0372702.pdf 1 444.8 KB Publisher’s postprint open-access - 7.0329700 - 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
Permanent Link: http://hdl.handle.net/11104/0175662 - 8.0314404 - 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
Permanent Link: http://hdl.handle.net/11104/0164926 - 9.0305506 - ÚTIA 2008 CZ eng V - Research Report
Šmíd, Martin
Probabilistic Properties of the Continuous Double Auction - Uniform Case.
[Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ.]
Praha: ÚTIA AV ČR, 2008. 10 s. Research Report, 2216.
R&D Projects: GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0158771