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Zero Intelligence Models of the Continuo...

Šmíd, Martin...

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Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization by Šmíd, Martin ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	26-07-2023
Summary	In the paper, a statistical procedure for estimating the parameters of zero intelligence models by means of tick-by-tick quote (L1) data is proposed. A large class of existing zero intelligence models is reviewed. It is shown that all those models fail to describe the actual behavior of limit order books close to the ask price. A generalized model, accommodating the discrepancies found, is proposed and shown to give significant results for L1 data from three US electronic markets. It is also demonstrated that the generalized model preforms significantly better than the reviewed models.
ISBN	-
Item Type	Article
File Type	pdf
File Size	37.08 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	http://arxiv.org/abs/1303.6765

Citation

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AMA 11th EditionReferences

Šmíd, Martin. Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization. N.A. July 26, 2023. Accessed September 20, 2024. https://online.provdatabase.com/cite/6022

APA 7th EditionReferences

Šmíd, Martin. (2023). Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization. N.A. https://online.provdatabase.com/cite/6022

Chicago 17th EditionReferences

Šmíd, Martin. Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization. N.A. 2023. https://online.provdatabase.com/cite/6022

HarvardReferences

Šmíd, Martin. (2023). Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization. [Online]. N.A. Available from: https://online.provdatabase.com/cite/6022. (Accessed 20 September 2024).

Harvard AustraliaReferences

Šmíd, Martin, 2023, Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization, N.A, viewed 20 September 2024, <https://online.provdatabase.com/cite/6022>

MLA 9th EditionWorks Cited

Šmíd, Martin. Zero Intelligence Models of the Continuous Double Auction: Econometrics, Empirical Evidence and Generalization. N.A, 2023. PROV Database, https://online.provdatabase.com/cite/6022.

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