Show simple item record

dc.contributor.authorScalas, E. 
dc.contributor.authorRapallo, F.
dc.contributor.authorRadivojevic, T.
dc.date.accessioned2017-06-01T14:02:00Z
dc.date.available2017-06-01T14:02:00Z
dc.date.issued2017-05
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/20.500.11824/677
dc.description.abstractWe 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 order process is equivalent to two $M/M/1$ queues. We study the behaviour of the auction in the low-traffic limit where limit orders are immediately matched by market orders. In this limit, the distribution of prices can be computed exactly and gives a reasonable approximation of the price distribution when the ratio between the rate of order arrivals and the rate of order executions is below 1/2. This is further confirmed by the analysis of the first-passage time in 1 or $N$.en_US
dc.formatapplication/pdfen_US
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.titleLow-traffic limit and first-passage times for a simple model of the continuous double auctionen_US
dc.typeinfo:eu-repo/semantics/articleen_US
dc.identifier.doi10.1016/j.physa.2017.05.020
dc.relation.publisherversionhttp://www.sciencedirect.com/science/article/pii/S0378437117305319en_US
dc.relation.projectIDES/1PE/SEV-2013-0323en_US
dc.relation.projectIDES/1PE/MTM2016-76329-Ren_US
dc.relation.projectIDEUS/BERC/BERC.2014-2017en_US
dc.relation.projectIDEUS/ELKARTEKen_US
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen_US
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersionen_US
dc.journal.titlePhysica A: Statistical Mechanics and its Applicationsen_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