Statistical theory of the continuous double auction
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this paper we develop a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow, and analyse it using simul...
Main Authors: | Smith, E, Farmer, J, Gillemot, L, Krishnamurthy, S |
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Format: | Journal article |
Published: |
2003
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