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Ergodic transition in a simple model of the continuous double auction

journal contribution
posted on 2023-06-08, 16:54 authored by Tijana Radivojevic, Jonatha Anselmi, Enrico Scalas
We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 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.

Funding

University of Sussex

History

Publication status

  • Published

Journal

PLoS ONE

ISSN

1932-6203

Publisher

Public Library of Science

Issue

2

Volume

9

Article number

e88095

Department affiliated with

  • Mathematics Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2014-03-19

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