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Forecasting in Continuous Double Auction

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Author Info
Martin Smid (Institute of Information Theory & Automation of the Academy of Sciences of the Czech Republic)

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Abstract

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 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 < s.

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File URL: http://129.3.20.41/eps/em/papers/0508/0508002.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0508002.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 19 pages
Date of creation: 02 Aug 2005
Date of revision: 31 Dec 2005
Handle: RePEc:wpa:wuwpem:0508002

Note: Type of Document - pdf; pages: 19
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Web page: http://129.3.20.41

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Related research
Keywords: 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)

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-11-20.

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