Original title: Probabilistic Properties of the Continuous Double Auction - Uniform Case
Translated title: Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ
Authors: Šmíd, Martin
Document type: Research reports
Year: 2008
Language: eng
Series: Research Report, volume: 2216
Abstract: We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of Maslov [2000] and Smith at. al. [2003]. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, we propose a procedure for statistical inference of the model and we show the way how to simulate the evolution of the process more efficiently then by the simulation of all the events. We prove that the price increments may be fat tailed if there is no initial order book but they are thin-tailed given a non-empty (Poisson distributed) order book. Finally, we show that, by a discretization of our model, the model of Smith et. al. [2003] is obtained and that a majority of our results is applicable to this model too.
Keywords: continuous double auction; distribution
Project no.: CEZ:AV0Z10750506 (CEP), GA402/06/1417 (CEP)
Funding provider: GA ČR

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0158771

Permalink: http://www.nusl.cz/ntk/nusl-38556


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