Geodesic
Probabilistic properties of the continuous double auction
Kybernetika, Tome 48 (2012) no. 1, pp. 50-82

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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).
Classification : 91G80
Keywords: continuous double auction; limit order market; distribution 
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     author = {\v{S}m{\'\i}d, Martin},
     title = {Probabilistic properties of the continuous double auction},
     journal = {Kybernetika},
     pages = {50--82},
     publisher = {mathdoc},
     volume = {48},
     number = {1},
     year = {2012},
     mrnumber = {2932928},
     zbl = {06050644},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2012__48_1_a3/}
}
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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/