Forecasting in continuous double auction

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F05%3A00411421" target="_blank" >RIV/67985556:_____/05:00411421 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Forecasting in continuous double auction
Original language description
Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of thelimit orders is studied. The main result of the paper is an approximate formula for the distribution of the market price and the traded volume at the time s given the information available at t < s.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2005
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 23rd International Conference Mathematical Methods in Economics 2005
ISBN
978-80-7041-535-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Gaudeamus
Place of publication
Hradec Kralové
Event location
Hradec Králové
Event date
Sep 14, 2005
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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