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Ověření aproximace spojité dvojité aukce pomocí sekvence call aukcí / A verification of an approximation of the continuous double auction by a sequence of call auctions.

The thesis deals with two kinds of double auction - with the continuous auction and a sequence of call auctions. We explain their rules and we define their models. We present results of simulations of the both kinds of double auction - the aim is to look for the call auction with such parameters that the prices and the traded volume of the continuous auction are approximated best. Finally, in a theoretical part, we characterize the dis- tribution of the order book in the continuous auction and then we specify the joint distribution of the price and the traded volume in the call auction (the distribution of bid, ask and the traded volume given by the continuous auction may be immediately devised from the distribution of the order book).

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:305558
Date January 2012
CreatorsKubík, Petr
ContributorsŠmíd, Martin, Branda, Martin
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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