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A steady-state model of the continuous double auction
16 references·7 citing·36 second hop
A steady-state model of the continuous double auction (2003)A steady-state model of the continuous do…The Double Auction Market Institutions, Theories, and Evidence (2018)The Double Auction Market Ins…Statistical theory of the continuous double auction (2003)Statistical theory of the con…Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…A simulation analysis of the microstructure of double auction markets* (2002)A simulation analysis of the …Limit Order Book as a Market for Liquidity (2001)Limit Order Book as a Market …Simple model of a limit order-driven market (2000)Simple model of a limit order…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange (1995)Securities Trading in the Abs…An Integrated Model of Market and Limit Orders (1995)An Integrated Model of Market…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Competitive Market Institutions: Double Auctions vs. Sealed Bid-Offer Auctions (1991)Competitive Market Institutio…An Experimental Study of Competitive Market Behavior (1991)An Experimental Study of Comp…Market microstructure (1976)Market microstructureAn Experimental Study of Competitive Market Behavior (1962)An Experimental Study of Comp…A Reverse Auction-Based Individualized Incentive System for Transit Mobility Management (2024)A Reverse Auction-Based Indiv…A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (2017)A Markov Model of a Limit Ord…Large Tick Assets: Implicit Spread and Optimal Tick Size (2015)Large Tick Assets: Implicit S…Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets (2006)Relation between Bid-Ask Spre…Five Years of Continuous-time Random Walks in Econophysics (2006)Five Years of Continuous-time…Anomalous waiting times in high-frequency financial data (2004)Anomalous waiting times in hi…Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)Trade Execution Costs and Market Quality after Decimalization (2003)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Dynamic Model of the Limit Order Book (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Théorie de la spéculation (1900)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)More statistical properties of order books and price impact (2003)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)What really causes large price changes? (2004)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Empirical properties of asset returns: stylized facts and statistical issues (2001)Econophysics review: I. Empirical facts (2011)Flexible double auctions for electronic commerce: theory and implementation (1998)Price Formation in Double Auctions (1998)The Michigan Internet AuctionBot (1998)Experimental Economics: Induced Value Theory (1991)Microeconomic Systems as an Experimental Science (1991)Constructivist and Ecological Rationality in Economics (2003)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Industrial Organization Theory and Experimental Economics (2001)Chapter 8 The Economics of Fairness, Reciprocity and Altruism – Experimental Evidence and New Theories (2006)
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References

  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1962An Experimental Study of Competitive Market Behavior1,081 cited
  • 1991An Experimental Study of Competitive Market Behavior1,019 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 1976Market microstructure555 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited
  • 2018The Double Auction Market Institutions, Theories, and Evidence494 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2003Statistical theory of the continuous double auction349 cited
  • 2002A simulation analysis of the microstructure of double auction markets*273 cited
  • 2000Simple model of a limit order-driven market233 cited
  • 1995An Integrated Model of Market and Limit Orders212 cited
  • 1995Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange169 cited
  • 1991Competitive Market Institutions: Double Auctions vs. Sealed Bid-Offer Auctions165 cited

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  • 2001Limit Order Book as a Market for Liquidity98 cited
  • Cited by

    • 2004Anomalous waiting times in high-frequency financial data91 cited
    • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
    • 2006Five Years of Continuous-time Random Walks in Econophysics82 cited
    • 2015Large Tick Assets: Implicit Spread and Optimal Tick Size75 cited
    • 2006Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets31 cited
    • 2017A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies28 cited
    • 2024A Reverse Auction-Based Individualized Incentive System for Transit Mobility Management8 cited