A stylized model for the continuous double auction

Lecture Notes in Economics and Mathematical Systems

Volumn 662, Issue , 2012, Pages 115-125

  Radivojević, Tijana ^a   Anselmi, Jonatha ^a   Scalas, Enrico ^a,b  

^a BCAM BASQUE CENTER FOR APPLIED MATHEMATICS   (Spain)

^b UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84870506549     PISSN: 00758442     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-642-31301-1_10     Document Type: Article

References (3)

1. Rama Cont and Adrien De Larrard (2011). Price Dynamics in a Markovian Limit Order Market. Working Paper Series 1735338, http://ssrn.com/abstract=1735338
2. Rama Cont, Sasha Stojkov and Rishi Taireja (2008). A Stochastic Model for Order Book Dynamics. Working Paper Series 1273160, http://ssrn.com/abstract=1273160
3. Ubaldo Garibaldi and Enrico Scalas (2010). Finitary Probabilistic Methods in Econophysics. Cambridge UK: Cambridge University Press.