About: Price Tails in the Smith and Farmer's Model

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Price Tails in the Smith and Farmer's Model Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Chvosty rozdělení ceny v Smithově a Farmerově modelu (cs) We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out to the stabilizing role of the initial call auction. We analytically prove that the tails of the price increments in the model by Smith et al. [2003] are fat with the tail exponent one if the initial order books are empty; however, they become thin if an initial call auction is held before the start of the trading. This way, our results point out to the stabilizing role of the initial call auction. (en)
Title	Price Tails in the Smith and Farmer's Model Chvosty rozdělení ceny v Smithově a Farmerově modelu (cs) Price Tails in the Smith and Farmer's Model (en)
skos:prefLabel	Price Tails in the Smith and Farmer's Model Chvosty rozdělení ceny v Smithově a Farmerově modelu (cs) Price Tails in the Smith and Farmer's Model (en)
skos:notation	RIV/67985556:_____/08:00314404!RIV09-GA0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/06/1417), P(GA402/07/1113), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika	25
http://linked.open...vai/riv/dodaniDat	2009
http://linked.open...aciTvurceVysledku	Šmíd, Martin
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	389236
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/08:00314404
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	limit order market; continuous double auction; price increments; fat tails; tail exponent (en)
http://linked.open.../riv/klicoveSlovo	fat tails price increments tail exponent continuous double auction limit order market
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[1977FD4919FD]
http://linked.open...i/riv/nazevZdroje	Bulletin of the Czech Econometric Society
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Economic Systems under Uncertainty: Optimization and Approximation Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading
http://linked.open...UplatneniVysledku	2008
http://linked.open...v/svazekPeriodika	15
http://linked.open...iv/tvurceVysledku	Šmíd, Martin
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	1212-074X
number of pages	10 (xsd:int)

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 100 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software