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Predpovídání ve dvojité aukci se spojitým časem
Šmíd, Martin
Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result of the paper is an approximate formula for the distribution of the market price and the traded volume at the time s given the information available at t < s.

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