| bibtype |
J -
Journal Article
|
| ARLID |
0314404 |
| utime |
20240111140709.2 |
| mtime |
20081112235959.9 |
| title
(primary) (eng) |
Price Tails in the Smith and Farmer's Model |
| specification |
| page_count |
10 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0293025 |
| ISSN |
1212-074X |
| title
|
Bulletin of the Czech Econometric Society |
| volume_id |
15 |
| volume |
25 (2008) |
| page_num |
31-40 |
|
| title
(cze) |
Chvosty rozdělení ceny v Smithově a Farmerově modelu |
| keyword |
limit order market |
| keyword |
continuous double auction |
| keyword |
price increments |
| keyword |
fat tails |
| keyword |
tail exponent |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/07/1113 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0228801 |
|
| project |
| project_id |
GA402/06/1417 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0213949 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out to the stabilizing role of the initial call auction. |
| abstract
(cze) |
Chvosty rozdělení ceny v Smithově a Farmerově modelu |
| reportyear |
2009 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0164926 |
| arlyear |
2008 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 15 č. 25 2008 31 40 |
|