Journal article

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 analyse 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...
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APA Style

Smith, E., Farmer, J., Gillemot, L., & Krishnamurthy, S. (2003). Statistical theory of the continuous double auction. Quantitative Finance, 3(6), 481–514.

MLA Style

Smith, E., et al. “Statistical Theory of the Continuous Double Auction.” Quantitative Finance, vol. 3, no. 6, 2003, pp. 481–514.

Chicago Style

Smith, E, J Farmer, L Gillemot, and S Krishnamurthy. 2003. “Statistical Theory of the Continuous Double Auction.” Quantitative Finance 3 (6): 481–514.
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+ Smith, E More by this author

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+ Farmer, J More by this author

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University of Oxford

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MPLS

Department:

Mathematical Institute

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+ Gillemot, L More by this author

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+ Krishnamurthy, S More by this author

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Bibliographic Details

Journal:: Quantitative Finance More from this journal
Volume:: 3
Issue:: 6
Pages:: 481-514
Publication date:: 2003-01-01

Item Description

Pubs id:: pubs:387713
UUID:: uuid:d7a943a3-8075-43bb-b09a-cb436dd40460
Local pid:: pubs:387713
Source identifiers:: 387713
Deposit date:: 2013-11-16

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Copyright date:: 2003

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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