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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Statistical inference of the Modified Smith?s model
 Rušin, Michal ; Šmíd, Martin (advisor) ; Hlubinka, Daniel (referee)
The present work discuss the continuous double auction mechanisms and the order book models. After a brief introduction to selected models, a general model of the the continuous double auction from the thesis title is described. Further, a structure of british market data is given as well as an approach to them. Based on these data the validity of Smith Farmer's model and Cont Stoikov's model is tested in the context of general model by linear regression. Finally, based on the previous results, the own order book model is suggested and its validity tested.
Detailed record
Statistical inference of the Modified Smith?s model
 Rušin, Michal ; Šmíd, Martin (advisor) ; Hlubinka, Daniel (referee)
The present work discuss the continuous double auction mechanisms and the order book models. After a brief introduction to selected models, a general model of the the continuous double auction from the thesis title is described. Further, a structure of british market data is given as well as an approach to them. Based on these data the validity of Smith Farmer's model and Cont Stoikov's model is tested in the context of general model by linear regression. Finally, based on the previous results, the own order book model is suggested and its validity tested.
Detailed record

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