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Probabilistic properties of the continuous double auction
Kybernetika, Tome 48 (2012) no. 1, pp. 50-82 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).
In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).
Classification : 91G80
Keywords: continuous double auction; limit order market; distribution 
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Šmíd, Martin. Probabilistic properties of the continuous double auction. Kybernetika, Tome 48 (2012) no. 1, pp. 50-82. http://geodesic.mathdoc.fr/item/KYB_2012_48_1_a3/

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