A steady-state model of the continuous double auction
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Cites work
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- Analyzing and modeling 1+1d markets
- Auctions as algorithms. Computerized trade execution and price discovery
- Market Behavior in a Clearing House
- Order flow and the bid-ask spread: an empirical probability model of screen-based trading
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Statistical properties of stock order books: empirical results and models
- Statistical theory of the continuous double auction
Cited in
(28)- A semi-Markovian modeling of limit order markets
- 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
- A continuous and efficient fundamental price on the discrete order book grid
- Anomalous waiting times in high-frequency financial data
- Statistical theory of the continuous double auction
- Scaling limit of a limit order book model via the regenerative characterization of Lévy trees
- scientific article; zbMATH DE number 5114927 (Why is no real title available?)
- Rigorous results for the Stigler-Luckock model for the evolution of an order book
- How much market making does a market need?
- 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
- Limiting distribution for a simple model of order book dynamics
- Analysis of Quantized Double Auctions with Application to Competitive Electricity Markets
- A Markov model of a limit order book: thresholds, recurrence, and trading strategies
- 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
- Probabilistic properties of the continuous double auction
- A stochastic partial differential equation model for limit order book dynamics
- The impact of heterogeneous trading rules on the limit order book and order flows
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