Probabilistic properties of the continuous double auction

MaRDI QIDQ2893933zbMATH OpenFDO

Authors Martin Šmíd

Publication date 26 June 2012

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/247204, http://www.kybernetika.cz/content/2012/1/50

zbMATH Keywords

continuous double auctionlimit and market orderPoisson point process

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial applications of other theories (91G80)

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Cites work

• A user's guide to measure theoretic probability
• An Introduction to the Theory of Point Processes
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)

Cited in

(11)

• Order flow and the bid-ask spread: an empirical probability model of screen-based trading
• Rigorous results for the Stigler-Luckock model for the evolution of an order book
• scientific article; zbMATH DE number 5114927 (Why is no real title available?)
• Estimation of zero-intelligence models by L1 data
• How much market making does a market need?
• A steady-state model of the continuous double auction
• Statistical theory of the continuous double auction
• Clearing price distributions in call auctions
• Analysis of short-term price behavior under continuous double auction mechanism
• Functional Limit Theorems for a Simple Auction
• Distribution of price and volume in a call auction

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