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Description
  • V práci je fomulován přesný matematický popis trhu s limitními objednávkami (stav trhu je popisován pomocí atomické míry). Dále jsou formulovány postačující podmínky pro to, aby byl vývoj trhu Markovský: tato vlastnost je garantována tehdy, pokud agenti buď jednají zcela náhodně nebo nebo jsou jejich akce závislé pouze na aktuálním stavu trhu a externím náhodném elementu. (cs)
  • We formulate a rigorousmathematical description of a limit order market (we describe the state of the market by means of atomic measures). Further, we state sufficient conditions for the evolution of the market to be Markov; in particular, all the agents should either trade randomly or use strategies dependent only on the current state of the market and on external random elements.
  • We formulate a rigorousmathematical description of a limit order market (we describe the state of the market by means of atomic measures). Further, we state sufficient conditions for the evolution of the market to be Markov; in particular, all the agents should either trade randomly or use strategies dependent only on the current state of the market and on external random elements. (en)
Title
  • On Markov Properties of Limit Order Markets
  • On Markov Properties of Limit Order Markets (en)
  • Markovská vlastnost trhu s limitními objednávkami (cs)
skos:prefLabel
  • On Markov Properties of Limit Order Markets
  • On Markov Properties of Limit Order Markets (en)
  • Markovská vlastnost trhu s limitními objednávkami (cs)
skos:notation
  • RIV/67985556:_____/06:00041427!RIV07-AV0-67985556
http://linked.open.../vavai/riv/strany
  • 1;10
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1294), P(GA402/06/1417), P(GD402/03/H057), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
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  • 490351
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  • RIV/67985556:_____/06:00041427
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  • limit order markets; marked point processes; stochastic processes (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [217B7B5A0BC0]
http://linked.open...v/mistoKonaniAkce
  • Prague
http://linked.open...i/riv/mistoVydani
  • Praha
http://linked.open...i/riv/nazevZdroje
  • Prague Stochastics 2006
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
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http://linked.open...iv/tvurceVysledku
  • Šmíd, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
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  • MATFYZPRESS
https://schema.org/isbn
  • 80-86732-75-4
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