Forecasting in Continuous Double Auction

Martin Smid
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Martin Smid: Institute of Information Theory & Automation of the Academy of Sciences of the Czech Republic

Econometrics from University Library of Munich, Germany

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

Keywords: limit order markets; continuous double auction; price and volume; forecasting; market microstructure (search for similar items in EconPapers)
JEL-codes: C51 G10 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-08-02, Revised 2005-12-31
New Economics Papers: this item is included in nep-fin and nep-for
Note: Type of Document - pdf; pages: 19
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0508002

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