Probabilistic properties of the continuous double auction - uniform case

Conference Paper (international conference)

Šmíd Martin

serial: Proceedings of 27th International Conference Mathematical Methods in Economics 2009 , Eds: Brožová Helena

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

research: CEZ:AV0Z10750506

project(s): GA402/07/1113GA ČR, GA402/09/0965GA ČR, LC06075GA MŠk

keywords: continuous double auction, limit order market, statistical inference

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abstract (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.

abstract (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.

RIV: AH