Ergodic transition in a simple model of the continuous double auction
MetadataShow full item record
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 prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed. In the ergodic regime, prices are unstable and one can observe a heteroskedastic behavior in the logarithmic returns. On the contrary, non-ergodicity triggers stability of prices, even if two different regimes can be seen.
Showing items related by title, author, creator and subject.
Ayma D.; Durbán M.; Lee D.-J.; Eilers P.H.C. (Spatial Statistics, 2016-01-01)Mortality data provide valuable information for the study of the spatial distri- bution of mortality risk, in disciplines such as spatial epidemiology and public health. However, they are frequently available in an aggregated ...
Ayma D.; Durbán M.; Lee D.-J.; Van de Kasstele J. (2016-07)Epidemiological data are frequently recorded at coarse spatio-temporal resolutions. The aggregation process is done for several reasons: to protect confidential patients' information, to compare with other datasets at a ...
The JBEI quantitative metabolic modeling library (jQMM): a python library for modeling microbial metabolism Birkel G.W.; Ghosh A.; Kumar V.S.; Weaver D.; Ando D.; Backman T.W.H.; Arkin A.P.; Keasling J.D.; García Martín H. (BMC Bioinformatics, 2017-01-01)Modeling of microbial metabolism is a topic of growing importance in biotechnology. Mathematical modeling helps provide a mechanistic understanding for the studied process, separating the main drivers from the circumstantial ...