A steady-state model of the continuous double auction
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Publication:4647285
DOI10.1088/1469-7688/3/5/305zbMath1405.91236OpenAlexW1966396540MaRDI QIDQ4647285
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/5/305
Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)
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Cites Work
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- Statistical theory of the continuous double auction
- Analyzing and modeling 1+1d markets
- Price fluctuations from the order book perspective - empirical facts and a simple model
