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Title: Probabilistic properties of the continuous double auction (English)
Author: Šmíd, Martin
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 48
Issue: 1
Year: 2012
Pages: 50-82
Summary lang: English
Category: math
Summary: In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask). (English)
Keyword: continuous double auction
Keyword: limit order market
Keyword: distribution
MSC: 91G80
idZBL: Zbl 06050644
idMR: MR2932928
Date available: 2012-03-05T08:29:58Z
Last updated: 2013-09-22
Stable URL:
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