Probabilistic Properties of the Continuous Double Auction

Martin Smid
2008 Social Science Research Network  
In this paper we formulate a general model of the continuous double auction. We (recursively) describe the distribution of the model. As a useful by-product, we give a (recursive) analytic description of the distribution of the process of the best quotes (bid and ask).
doi:10.2139/ssrn.1107114 fatcat:vztokutn5nbujftwbdjhq5qtmq