A formalization of double auction market dynamics

DOI10.1080/14697688.2013.774459zbMath1281.91094OpenAlexW1998126537MaRDI QIDQ5397434

Shaimaa Masry, Edward P. K. Tsang, Richard B. Olsen

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.774459

zbMATH Keywords

market modelsliquidity riskstate changessimple calculus

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

Cites Work

• A logic-based calculus of events
• Coherent Measures of Risk
• Liquidity risk theory and coherent measures of risk

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