Ergodic transition in a simple model of the continuous double auction
Ergodic transition in a simple model of the continuous double auction
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United States: Public Library of Science
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Language
English
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United States: Public Library of Science
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Contents
We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior...
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Full title
Ergodic transition in a simple model of the continuous double auction
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TN_cdi_plos_journals_1499826568
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_plos_journals_1499826568
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ISSN
1932-6203
E-ISSN
1932-6203
DOI
10.1371/journal.pone.0088095
