dc.contributor.author Scalas, E. dc.contributor.author Rapallo, F. dc.contributor.author Radivojevic, T. dc.date.accessioned 2017-06-01T14:02:00Z dc.date.available 2017-06-01T14:02:00Z dc.date.issued 2017-05 dc.identifier.issn 0378-4371 dc.identifier.uri http://hdl.handle.net/20.500.11824/677 dc.description.abstract 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 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.format application/pdf en_US dc.language.iso eng en_US dc.rights Reconocimiento-NoComercial-CompartirIgual 3.0 España en_US dc.rights.uri http://creativecommons.org/licenses/by-nc-sa/3.0/es/ en_US dc.title Low-traffic limit and first-passage times for a simple model of the continuous double auction en_US dc.type info:eu-repo/semantics/article en_US dc.identifier.doi 10.1016/j.physa.2017.05.020 dc.relation.publisherversion http://www.sciencedirect.com/science/article/pii/S0378437117305319 en_US dc.relation.projectID ES/1PE/SEV-2013-0323 en_US dc.relation.projectID ES/1PE/MTM2016-76329-R en_US dc.relation.projectID EUS/BERC/BERC.2014-2017 en_US dc.relation.projectID EUS/ELKARTEK en_US dc.rights.accessRights info:eu-repo/semantics/openAccess en_US dc.type.hasVersion info:eu-repo/semantics/publishedVersion en_US dc.journal.title Physica A: Statistical Mechanics and its Applications en_US
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