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    • 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 ...