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Forecasting in Continuous Double Auction

Author

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  • Martin Smid

    (Institute of Information Theory & Automation of the Academy of Sciences of the Czech Republic)

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

Suggested Citation

  • Martin Smid, 2005. "Forecasting in Continuous Double Auction," Econometrics 0508002, University Library of Munich, Germany, revised 31 Dec 2005.
  • Handle: RePEc:wpa:wuwpem:0508002
    Note: Type of Document - pdf; pages: 19
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0508/0508002.pdf
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    More about this item

    Keywords

    limit order markets; continuous double auction; price and volume; forecasting; market microstructure;

    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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