Kybernetika 48 no. 1, 50-82, 2012

Probabilistic properties of the continuous double auction

Martin Šmíd

Abstract:

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).

Keywords:

continuous double auction, limit order market, distribution

Classification:

91G80

paper.pdf

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