Now showing items 1-3 of 3

    • A stylized model for the continuous double auction 

      Radivojevic, T.; Anselmi, J.; Scalas, E.Autoridad BCAM (2012-12-31)
      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 ...
    • 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 ...
    • Wealth distribution and the Lorenz curve: a finitary approach 

      Scalas, E.Autoridad BCAM; Radivojevic, T.; Garibaldi, U. (2015-12-31)
      We use three stochastic games for the wealth of economic agents which may be at work in a real economy and we derive their statistical equilibrium distributions. Based on a heuristic argument, we assume that the expected ...