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Conference Paper (international conference)

Probabilistic properties of the continuous double auction - uniform case

Šmíd Martin

: Proceedings of 27th International Conference Mathematical Methods in Economics 2009, p. 317-322 , Eds: Brožová Helena

: 27th International Conference Mathematical Methods in Economics 2009, (Kostelec nad Černými lesy, CZ, 09.09.2009-11.09.2009)

: CEZ:AV0Z10750506

: GA402/07/1113, GA ČR, GA402/09/0965, GA ČR, LC06075, GA MŠk

: continuous double auction, limit order market, statistical inference

: http://library.utia.cas.cz/separaty/2009/E/smid-probabilistic properties of the continuous double auction - uniform case.pdf

(eng): We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of /citet{Maslov00} and /citet{Smith03}. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, a procedure for statistical inference of the model may be designed and the evolution of the process may be simulated more efficiently then by the crude simulation of all the events.

(cze): Studujeme pravděpodobnostní propriety nula inteligentního modelu limitovaného nákupního trhu velmi podobného /citet{Maslov00} a /citet{Smith03}. Popisujeme distribuce nákupu knih na základě nejlepších nabídek. založeno na teoretických výsledcích a procedury statistických inferencí.

: AH