| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0329700 |
| utime |
20240111140725.9 |
| mtime |
20090929235959.9 |
| title
(primary) (eng) |
Probabilistic properties of the continuous double auction - uniform case |
| specification |
| page_count |
6 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0329656 |
| ISBN |
978-80-213-1963-9 |
| title
|
Proceedings of 27th International Conference Mathematical Methods in Economics 2009 |
| page_num |
317-322 |
| publisher |
| place |
Prague |
| name |
Czech University of Life Sciences Prague |
| year |
2009 |
|
| editor |
| name1 |
Brožová |
| name2 |
Helena |
|
|
| title
(cze) |
Pravděpodobnostní vlastnosti spojité dvojité aukce - rovnoměrný případ |
| keyword |
continuous double auction |
| keyword |
limit order market |
| keyword |
statistical inference |
| 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 |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
LC06075 |
| agency |
GA MŠk |
| country |
CZ |
| ARLID |
cav_un_auth*0227048 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We study probabilistic properties of a zero intelligence model of a limit order market, very similar to those of /citet{Maslov00} and /citet{Smith03}. We (recursively) describe the distributions of the order books and the best quotes. Based on these theoretical results, a procedure for statistical inference of the model may be designed and the evolution of the process may be simulated more efficiently then by the crude simulation of all the events. |
| abstract
(cze) |
Studujeme pravděpodobnostní propriety nula inteligentního modelu limitovaného nákupního trhu velmi podobného /citet{Maslov00} a /citet{Smith03}. Popisujeme distribuce nákupu knih na základě nejlepších nabídek. založeno na teoretických výsledcích a procedury statistických inferencí. |
| action |
| ARLID |
cav_un_auth*0254216 |
| name |
27th International Conference Mathematical Methods in Economics 2009 |
| place |
Kostelec nad Černými lesy |
| dates |
09.09.2009-11.09.2009 |
| country |
CZ |
|
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0175662 |
| arlyear |
2009 |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0329656 Proceedings of 27th International Conference Mathematical Methods in Economics 2009 978-80-213-1963-9 317 322 Prague Czech University of Life Sciences Prague 2009 |
| mrcbU67 |
Brožová Helena 340 |
|