PROBABILISTIC PROPERTIES OF THE CONTINUOUS DOUBLE AUCTION

被引：0
|
作者：
Smid, Martin [1 ]
机构：
[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic
来源：
KYBERNETIKA | 2012年 / 48卷 / 01期
关键词：
continuous double auction; limit order market; distribution; MODEL;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
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).
引用
收藏
页码：50 / 82
页数：33
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