Probabilistic properties of the continuous double auction
نویسنده
چکیده
منابع مشابه
A Comparative Study of Multi-Attribute Continuous Double Auction Mechanisms
Auctions have been as a competitive method of buying and selling valuable or rare items for a long time. Single-sided auctions in which participants negotiate on a single attribute (e.g. price) are very popular. Double auctions and negotiation on multiple attributes create more advantages compared to single-sided and single-attribute auctions. Nonetheless, this adds the complexity of the auctio...
متن کاملProbabilistic GENCOs Bidding Strategy in Restructured Two-Side Auction Power Markets
As a matter of course, power market uncertainties escalation is by product of power industry restructure on one hand and the unrivalled penetration of renewable energies on the other. Generally, the decision making process in such an uncertain environment faces with different risks. In addition, the performance of real power markets is very close to oligopoly markets, in which, some market play...
متن کاملSome properties of continuous linear operators in topological vector PN-spaces
The notion of a probabilistic metric space corresponds to thesituations when we do not know exactly the distance. Probabilistic Metric space was introduced by Karl Menger. Alsina, Schweizer and Sklar gave a general definition of probabilistic normed space based on the definition of Menger [1]. In this note we study the PN spaces which are topological vector spaces and the open mapping an...
متن کاملA Random Order Placement Model of Price Formation in the Continuous Double Auction
Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this chapter we use a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow. The analysis is based on simulation, dimensional analysis, and theoretical tools based on mean-field approximations. The model ma...
متن کاملErgodic Transition in a Simple Model of the Continuous Double Auction
We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Kybernetika
دوره 48 شماره
صفحات -
تاریخ انتشار 2012