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Probabilistic Properties of the Continuous Double Auction
2008
Social Science Research Network
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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