Institute of Information Theory and Automation

You are here


Journal Article

Probabilistic properties of the continuous double auction

Šmíd Martin

: Kybernetika vol.48, 1 (2012), p. 50-82

: CEZ:AV0Z10750506

: GAP402/10/1610, GA ČR, GAP402/10/0956, GA ČR, GA402/06/1417, GA ČR

: continuous double auction, limit order market, distribution


(eng): 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).

: BB

2019-01-07 08:39