Now showing items 1-2 of 2

    • Low-traffic limit and first-passage times for a simple model of the continuous double auction 

      Scalas, E.Autoridad BCAM; Rapallo, F.; Radivojevic, T. (2017-05)
      We consider a simplified model of the continuous double auction where prices are integers varying from 1 to $N$ with limit orders and market orders, but quantity per order limited to a single share. For this model, the ...
    • Semi-markov graph dynamics 

      Raberto, M.; Rapallo, F.; Scalas, E.Autoridad BCAM (2011-12-31)
      In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of ...