Forecasting in Continuous Double Auction
AbstractRecently, 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 the limit 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
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0508002.
Length: 19 pages
Date of creation: 02 Aug 2005
Date of revision: 31 Dec 2005
Note: Type of Document - pdf; pages: 19
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limit order markets; continuous double auction; price and volume; forecasting; market microstructure;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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