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Markovská vlastnost trhu s limitními objednávkami
Šmíd, Martin
We formulate a rigorousmathematical description of a limit order market (we describe the state of the market by means of atomic measures). Further, we state sufficient conditions for the evolution of the market to be Markov; in particular, all the agents should either trade randomly or use strategies dependent only on the current state of the market and on external random elements.

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