A stylized model for the continuous double auction

Tijana Radivojević (), Jonatha Anselmi () and Enrico Scalas
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Tijana Radivojević: BCAM - Basque Center for Applied Mathematics
Jonatha Anselmi: BCAM - Basque Center for Applied Mathematics

Chapter Chapter 10 in Managing Market Complexity, 2012, pp 115-125 from Springer

Abstract: Abstract A stylized phenomenological model for the continuous double auction is introduced. This model is equivalent to two uncoupled M/M/1 queues. The conditions for statistical equilibrium (ergodicity) are derived. The results of Monte Carlo simulations are presented on the behaviour of price differences and log-returns.

Keywords: Limit Order; Order Book; Stylize Model; Market Order; Double Auction (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/978-3-642-31301-1_10

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