A stylized model for the continuous double auction

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Date
2012-12-31
Radivojevic, T.; Anselmi, J.; Scalas, E.Autoridad BCAM
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Abstract
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 of Monte Carlo simulations are presented on the behaviour of price differences and log-returns.
URI
http://hdl.handle.net/20.500.11824/407
DOI
https://dx.doi.org/10.1007/978-3-642-31301-1_10
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Reconocimiento-NoComercial-CompartirIgual 3.0 España
Except where otherwise noted, this item's license is described as Reconocimiento-NoComercial-CompartirIgual 3.0 España