<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>

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...

We examine the continuous time portfolio selection problem involving limit orders; we show that this problem reduces to the corresponding problem without limit orders.