Analysis of short-term price behavior under continuous double auction mechanism

zbMATH Open1174.91357MaRDI QIDQ5453316FDOQ5453316

Authors: Bo Liu, Yong Zeng, Ping Li 

Publication date: 4 April 2008

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zbMATH Keywords

limit order bookcompetitive equilibriumcontinuous double auctionfinancial market microstructureshort-term price behavior

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (2)

• From Walras' auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
• Dynamic price formation in a futures market via double auctions

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