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    • Ergodic transition in a simple model of the continuous double auction 

      Radivojevic, T.; Anselmi, J.; Scalas, E.Autoridad BCAM (2014-12-31)
      We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade ...