Journal article
Statistical theory of the continuous double auction
- Abstract:
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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 analyze it using simulation, dimensional analysis, and theoretical tools based on mean field approximations. The model makes testable predictions for basic properties of markets, such as price volatility, the depth of store...
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- Publisher copy:
- 10.1088/1469-7688/3/6/307
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Authors
Bibliographic Details
- Journal:
- Quantitative Finance
- Volume:
- 3
- Issue:
- 6
- Pages:
- 481-514
- Publication date:
- 2002-10-22
- DOI:
- EISSN:
-
1469-7696
- ISSN:
-
1469-7688
- Source identifiers:
-
387673
Item Description
- Keywords:
- Pubs id:
-
pubs:387673
- UUID:
-
uuid:d0796aa4-1ba9-4b68-a157-bb1b0709c799
- Local pid:
- pubs:387673
- Deposit date:
- 2013-11-16
Terms of use
- Copyright date:
- 2002
- Notes:
- 36 pages, 40 figures, RevTex4, submitted to Quantitative Finance
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