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Statistical theory of the continuous double auction

Abstract:

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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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
Journal:
Quantitative Finance
Volume:
3
Issue:
6
Pages:
481-514
Publication date:
2002-10-22
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
URN:
uuid:d0796aa4-1ba9-4b68-a157-bb1b0709c799
Source identifiers:
387673
Local pid:
pubs:387673

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