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

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)

Recommendations

• Statistical theory of the continuous double auction
• Probabilistic properties of the continuous double auction
• A steady-state model of the continuous double auction
• Price formation in double auction markets
• Price dynamics in an order-driven market with Bayesian learning

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

This page was built for publication: Analysis of short-term price behavior under continuous double auction mechanism

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5453316)