A steady-state model of the continuous double auction
From MaRDI portal
Publication:4647285
DOI10.1088/1469-7688/3/5/305zbMATH Open1405.91236OpenAlexW1966396540MaRDI QIDQ4647285FDOQ4647285
Authors: Hugh Luckock 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/5/305
Recommendations
- Statistical theory of the continuous double auction
- Stochastic stability in a double auction
- Probabilistic properties of the continuous double auction
- Towards competitive equilibrium by double auctions
- From Walras' auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
- Stationary state in a multistage auction model
- Existence and Convergence of Equilibria in the Buyer's Bid Double Auction
- Strategic bidding in continuous double auctions
- scientific article; zbMATH DE number 5114927
- A continuous-time model of bilateral bargaining
Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)
Cites Work
- Statistical properties of stock order books: empirical results and models
- Analyzing and modeling 1+1d markets
- Price fluctuations from the order book perspective - empirical facts and a simple model
- A simulation analysis of the microstructure of double auction markets
- Market Behavior in a Clearing House
- Auctions as algorithms. Computerized trade execution and price discovery
- Statistical theory of the continuous double auction
- Order flow and the bid-ask spread: an empirical probability model of screen-based trading
Cited In (28)
- Optimal auction duration: a price formation viewpoint
- Order execution probability and order queue in limit order markets
- Continuous time trading of a small investor in a limit order market
- Limits of Limit-Order Books
- Simple stochastic order-book model of swarm behavior in continuous double auction
- New activity pattern in human interactive dynamics
- Clearing price distributions in call auctions
- A one-level limit order book model with memory and variable spread
- Modeling dynamic sealed-offer \(k\)-double auctions using a mixture of distributions
- Anomalous waiting times in high-frequency financial data
- A continuous and efficient fundamental price on the discrete order book grid
- Statistical theory of the continuous double auction
- Title not available (Why is that?)
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
- How much market making does a market need?
- Rigorous results for the Stigler-Luckock model for the evolution of an order book
- Investor's sentiment in multi-agent model of the continuous double auction
- Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
- Analysis of Quantized Double Auctions with Application to Competitive Electricity Markets
- A Markov model of a limit order book: thresholds, recurrence, and trading strategies
- Limiting distribution for a simple model of order book dynamics
- A model of a two-stage all-pay auction
- Estimation of zero-intelligence models by L1 data
- Analysis of short-term price behavior under continuous double auction mechanism
- A stochastic partial differential equation model for limit order book dynamics
- Probabilistic properties of the continuous double auction
- The impact of heterogeneous trading rules on the limit order book and order flows
- A semi-Markovian modeling of limit order markets
This page was built for publication: A steady-state model of the continuous double auction
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647285)
