Ergodic Transition in a Simple Model of the Continuous Double Auction

Tijana Radivojević, Jonatha Anselmi and Enrico Scalas

PLOS ONE, 2014, vol. 9, issue 2, 1-5

Abstract: We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent 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 of prices and logarithmic returns are observed. In the ergodic regime, prices are unstable and one can observe a heteroskedastic behavior in the logarithmic returns. On the contrary, non-ergodicity triggers stability of prices, even if two different regimes can be seen.

Date: 2014
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Working Paper: Ergodic transition in a simple model of the continuous double auction (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0088095

DOI: 10.1371/journal.pone.0088095

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