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Ergodic Transition in a Simple Model of the Continuous Double Auction
We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent [Image: see text] queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2014
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3928121/ https://www.ncbi.nlm.nih.gov/pubmed/24558377 http://dx.doi.org/10.1371/journal.pone.0088095 |