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A stylized model for the continuous double auction

In: Managing Market Complexity

Author

Listed:
  • Tijana Radivojević

    (BCAM - Basque Center for Applied Mathematics)

  • Jonatha Anselmi

    (BCAM - Basque Center for Applied Mathematics)

  • Enrico Scalas

    (BCAM - Basque Center for Applied Mathematics
    Università del Piemonte Orientale Amedeo Avogadro)

Abstract

A stylized phenomenological model for the continuous double auction is introduced. This model is equivalent to two uncoupled M/M/1 queues. The conditions for statistical equilibrium (ergodicity) are derived. The results of Monte Carlo simulations are presented on the behaviour of price differences and log-returns.

Suggested Citation

  • Tijana Radivojević & Jonatha Anselmi & Enrico Scalas, 2012. "A stylized model for the continuous double auction," Lecture Notes in Economics and Mathematical Systems, in: Andrea Teglio & Simone Alfarano & Eva Camacho-Cuena & Miguel Ginés-Vilar (ed.), Managing Market Complexity, edition 127, chapter 0, pages 115-125, Springer.
    • Handle: RePEc:spr:lnechp:978-3-642-31301-1_10
    DOI: 10.1007/978-3-642-31301-1_10
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    Citations

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    Cited by:

    1. Scalas, Enrico & Rapallo, Fabio & Radivojević, Tijana, 2017. "Low-traffic limit and first-passage times for a simple model of the continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 61-72.
    2. Tijana Radivojević & Jonatha Anselmi & Enrico Scalas, 2014. "Ergodic Transition in a Simple Model of the Continuous Double Auction," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-5, February.

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