Show simple item record

dc.contributor.authorRadivojevic, T.
dc.contributor.authorAnselmi, J.
dc.contributor.authorScalas, E. 
dc.date.accessioned2016-06-13T13:12:37Z
dc.date.available2016-06-13T13:12:37Z
dc.date.issued2014-12-31
dc.identifier.issn1932-6203
dc.identifier.urihttp://hdl.handle.net/20.500.11824/128
dc.description.abstractWe 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.
dc.formatapplication/pdf
dc.language.isoengen_US
dc.rightsReconocimiento-NoComercial-CompartirIgual 3.0 Españaen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/es/en_US
dc.subjectarticle
dc.subjectcontinuous double auction
dc.subjecteconomics
dc.subjectergodic transition
dc.subjectergodicity
dc.subjectmarket
dc.subjectphenomenology
dc.subjectprobability
dc.subjectrandomization
dc.subjectstatistical analysis
dc.subjectstatistical model
dc.subjectbiological model
dc.subjectcommercial phenomena
dc.subjectcomputer simulation
dc.subjectinvestment
dc.subjectMonte Carlo method
dc.subjectPoisson distribution
dc.subjectstatistical model
dc.subjecttheoretical model
dc.subjectCommerce
dc.subjectComputer Simulation
dc.subjectInvestments
dc.subjectMarkov Chains
dc.subjectModels
dc.subjectBiological
dc.subjectModels
dc.subjectEconomic
dc.subjectModels
dc.subjectTheoretical
dc.subjectMonte Carlo Method
dc.subjectPoisson Distribution
dc.subjectProbability
dc.titleErgodic transition in a simple model of the continuous double auction
dc.typeinfo:eu-repo/semantics/articleen_US
dc.identifier.doi10.1371/journal.pone.0088095
dc.relation.publisherversionhttp://journals.plos.org/plosone/article?id=10.1371/journal.pone.0088095
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen_US
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersionen_US
dc.journal.titlePLoS ONEen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Reconocimiento-NoComercial-CompartirIgual 3.0 España
Except where otherwise noted, this item's license is described as Reconocimiento-NoComercial-CompartirIgual 3.0 España