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A stylized model for the continuous double auction

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Managing Market Complexity

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 662))

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.

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References

  1. Rama Cont and Adrien De Larrard (2011). Price Dynamics in a Markovian Limit Order Market. Working Paper Series 1735338, http://ssrn.com/abstract=1735338

  2. Rama Cont, Sasha Stojkov and Rishi Taireja (2008). A Stochastic Model for Order Book Dynamics. Working Paper Series 1273160, http://ssrn.com/abstract=1273160

  3. Ubaldo Garibaldi and Enrico Scalas (2010). Finitary Probabilistic Methods in Econophysics. Cambridge UK: Cambridge University Press.

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Author information

Authors and Affiliations

  1. BCAM - Basque Center for Applied Mathematics, Bilbao, Spain

    Tijana Radivojević, Jonatha Anselmi & Enrico Scalas

  2. Dipartimento di Scienze e Tecnologie Avanzate, Università del Piemonte Orientale Amedeo Avogadro, Alessandria, Italy

    Enrico Scalas

Authors
  1. Tijana Radivojević
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  2. Jonatha Anselmi
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  3. Enrico Scalas
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Corresponding author

Correspondence to Tijana Radivojević .

Editor information

Editors and Affiliations

  1. , Economics, Universitat Jaume I, Campus del Riu Sec, Castellon de la Plana, 12071, Spain

    Andrea Teglio

  2. , Economics, Universitat Jaume I, Campus del Riu Sec, Castellon de la Plana, 12071, Spain

    Simone Alfarano

  3. , Economics, Universitat Jaume I, Campus del Riu Sec, Castellon de la Plana, 12071, Spain

    Eva Camacho-Cuena

  4. , Economics, Universitat Jaume I, Campus del Riu Sec, Castellon de la Plana, 12071, Spain

    Miguel Ginés-Vilar

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© 2012 Springer-Verlag Berlin Heidelberg

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Radivojević, T., Anselmi, J., Scalas, E. (2012). A stylized model for the continuous double auction. In: Teglio, A., Alfarano, S., Camacho-Cuena, E., Ginés-Vilar, M. (eds) Managing Market Complexity. Lecture Notes in Economics and Mathematical Systems, vol 662. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31301-1_10

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  • DOI: https://doi.org/10.1007/978-3-642-31301-1_10

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-31300-4

  • Online ISBN: 978-3-642-31301-1

  • eBook Packages: Business and EconomicsEconomics and Finance (R0)

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