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Ergodic transition in a simple model of the continuous double auction.

ABSTRACT: 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.

SUBMITTER: Radivojevic T

PROVIDER: S-EPMC3928121 | biostudies-literature | 2014

REPOSITORIES: biostudies-literature

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Ergodic transition in a simple model of the continuous double auction.

Radivojević Tijana T Anselmi Jonatha J Scalas Enrico E

PloS one 20140218 2

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 loga ...[more]

PMID: 24558377

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