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...

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Bibliographic Details
Main Authors: Smith, E, Farmer, J, Gillemot, L, Krishnamurthy, S
Format: Journal article
Published: 2003

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