Convergence of Markovian price processes in a financial market transaction model

Xiaojing Xu (), Jinpeng Ma () and Xiaoping Xie ()
Additional contact information
Xiaojing Xu: Sichuan University
Jinpeng Ma: Rutgers University
Xiaoping Xie: Sichuan University

Operational Research, 2017, vol. 17, issue 1, No 12, 239-273

Abstract: Abstract This paper studies a financial market transaction model and convergence of Markovian price processes generated by an $$\alpha$$ α -double auction in Xu et al. (Expert Syst Appl 41(16):7032–7045, 2014) and extends their results for a fixed $$\alpha$$ α in [0, 1] to the case where $$\alpha$$ α is governed by a time non-homogeneous Markov chain over a set of finite states defined by $$R\equiv \{\alpha _1, \alpha _2, \ldots , \alpha _r\}$$ R ≡ { α 1 , α 2 , … , α r } , $$0\le \alpha _1

Keywords: Double auctions; Bubble and crash; Incremental subgradient methods; Sentiments; Walrasian equilibrium (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s12351-015-0224-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0224-7

Ordering information: This journal article can be ordered from
https://www.springer ... search/journal/12351

DOI: 10.1007/s12351-015-0224-7

Access Statistics for this article

Operational Research is currently edited by Nikolaos F. Matsatsinis, John Psarras and Constantin Zopounidis

More articles in Operational Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().